TY - CONF T1 - PERMANENT AND TRANSITORY DRIVERS OF SECURITISED REAL ESTATE T2 - 13th Annual European Real Estate Society Conference Y1 - 2006 A1 - Cheong, Chee A1 - Richard Gerlach A1 - Simon Stevenson A1 - Patrick Wilson A1 - Ralf Zurbrugg AB - This paper re-examines the sensitivity and importance of interest rates and stock market price behaviour on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved within a framework that accounts for endogenously determined structural breaks within the data. The paper uses a unique combination of the procedures used by Gonzalo and Granger (1995) and those of Inoue (1999). The results provide a different perspective on the relationship that securitised property has with these markets and sheds new light on their long-run interaction. Once structural breaks are accounted for the results show that securitised property is sensitive to both interest rate and stock market changes, regardless of the type of securitised property being examined. Evidence also points to companies with increased debt-to-asset ratios and companies that are REITs tax-exempt are still all influenced by both the equity and fixed income markets. JA - 13th Annual European Real Estate Society Conference T3 - ERES: Conference CY - Weimar, Germany U3 - RePEc:arz:wpaper:eres2006_159 J1 - Conference 2006 ID - oai:eres.id:eres2006_159 M3 - 10.15396/eres2006_159 ER -