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    Regime shifts in ex post UK commercial property risk premiums

    Access Status
    Fulltext not available
    Authors
    Hutchison, N.
    Fraser, Patricia
    Adair, A.
    Srivatsa, R.
    Date
    2012
    Type
    Journal Article
    
    Metadata
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    Citation
    Hutchison, Norman and Fraser, Patricia and Adair, Alastair and Srivatsa, Rahul. 2012. Regime shifts in ex post UK commercial property risk premiums. Journal of Property Research. 29 (3): pp. 247-269.
    Source Title
    Journal of Property Research
    DOI
    10.1080/09599916.2012.686516
    ISSN
    09599916
    URI
    http://hdl.handle.net/20.500.11937/15286
    Collection
    • Curtin Research Publications
    Abstract

    Using a Markov Switching Model, the hypothesis that ex post commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each point in time were estimated. Results suggest that industrial and retail sectors exhibit regime shifting behaviour although the probability of shifting between high- and low-risk states, while significant, was low compared to them remaining the same. Investigation of the transitional probabilities suggested the propensity to shift regimes differs between sectors, but is generally more prevalent in periods of relative uncertainty.

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