Regime shifts in ex post UK commercial property risk premiums

N Hutchison, P Fraser, AS Adair, Srivatsa Rahul

    Research output: Contribution to journalArticle

    3 Citations (Scopus)

    Abstract

    Using a Markov Switching Model, the hypothesis that ex post commercial sectorrisk premiums have stable mean values within a time-varying framework isinvestigated. The probabilities of shifting expected values and the transitionalprobabilities of remaining in a high (low)-risk state at each point in time wereestimated. Results suggest that industrial and retail sectors exhibit regime shiftingbehaviour although the probability of shifting between high- and low-riskstates, while significant, was low compared to them remaining the same. Investigationof the transitional probabilities suggested the propensity to shift regimesdiffers between sectors, but is generally more prevalent in periods of relativeuncertainty.
    LanguageEnglish
    Pages247-269
    JournalJournal of Property Research
    Volume29
    Issue number3
    DOIs
    Publication statusPublished - 20 Sep 2012

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    Hutchison, N ; Fraser, P ; Adair, AS ; Rahul, Srivatsa. / Regime shifts in ex post UK commercial property risk premiums. In: Journal of Property Research. 2012 ; Vol. 29, No. 3. pp. 247-269.
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    Regime shifts in ex post UK commercial property risk premiums. / Hutchison, N; Fraser, P; Adair, AS; Rahul, Srivatsa.

    In: Journal of Property Research, Vol. 29, No. 3, 20.09.2012, p. 247-269.

    Research output: Contribution to journalArticle

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