Regime shifts in ex post UK commercial property risk premiums

N Hutchison, P Fraser, AS Adair, Srivatsa Rahul

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


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.
Original languageEnglish
Pages (from-to)247-269
JournalJournal of Property Research
Issue number3
Publication statusPublished (in print/issue) - 20 Sept 2012


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