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dc.contributor.authorHutchison, N.
dc.contributor.authorFraser, Patricia
dc.contributor.authorAdair, A.
dc.contributor.authorSrivatsa, R.
dc.identifier.citationHutchison, 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.

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.

dc.publisherE and FN Spon
dc.subjectMarkov switching model
dc.subjectex post risk premium
dc.subjectregime shift
dc.subjectUK commercial property
dc.titleRegime shifts in ex post UK commercial property risk premiums
dc.typeJournal Article
dcterms.source.titleJournal of Property Research
curtin.accessStatusFulltext not available

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