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Linkages between property asset returns and interest rates: evidence for the UK

✍ Scribed by Brooks, Chris; Tsolacos, Sotiris

Book ID
120497960
Publisher
Taylor and Francis Group
Year
2001
Tongue
English
Weight
192 KB
Volume
33
Category
Article
ISSN
0003-6846

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This paper addresses the issue of real interest rate linkages between the UK and the USA during the postwar period. We use a bivariate Markov switching vector error correction model, which accounts for both the regime switches in the real interest rates and their long-run cointegration properties ov