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Shock persistence in property and related markets

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  • Peijie Wang

Abstract

Persistence patterns are examined in univariate and multivariate cases, in comparison with financial market investments and real world economic activities. In addition, the effects of monetary and non- monetary shocks on the property market are investigated. The method of the multivariate persistence measurement is, in the meantime, extended and applied to the empirical work.

Suggested Citation

  • Peijie Wang, 2000. "Shock persistence in property and related markets," Journal of Property Research, Taylor & Francis Journals, vol. 17(1), pages 1-21, January.
    • Handle: RePEc:taf:jpropr:v:17:y:2000:i:1:p:1-21
    DOI: 10.1080/095999100367994
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    References listed on IDEAS

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    1. Campbell, John Y, 1990. "Measuring the Persistence of Expected Returns," American Economic Review, American Economic Association, vol. 80(2), pages 43-47, May.
    2. Pesaran, M. H. & Pierse, R. G. & Lee, K. C., 1993. "Persistence, cointegration, and aggregation : A disaggregated analysis of output fluctuations in the U.S. economy," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 57-88, March.
    3. Long, John B, Jr & Plosser, Charles I, 1987. "Sectoral vs. Aggregate Shocks in the Business Cycle," American Economic Review, American Economic Association, vol. 77(2), pages 333-336, May.
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    Cited by:

    1. Yang, Zan & Wang, Songtao & Campbell, Robert, 2010. "Monetary policy and regional price boom in Sweden," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 865-879, November.

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