Volatility Spillover in Australian Commercial Property

Purpose -The purpose of this paper is to examine the housing price volatility for eight capital cities in Australia over 1987Australia over -2007. Specifically, the volatility of Australian housing and its determinants were investigated. Design/methodology/approach -An exponential-generalised autoregressive conditional heteoskedasticity (EGARCH) model was employed to analyse the volatility for eight capital cities in Australia. The Engle LM test was also utilised to examine the volatility clustering effects in these cities. Findings -The volatility clustering effects (ARCH effects) were found in many Australian capital cities. The importance of estimating each individual city's EGARCH model was also demonstrated in which the determinants of housing volatility vary from a city to another city. Asymmetric of the positive and negative shocks were also documented. Research limitations/implications -This study has implications for investors and policy makers in which housing investors should estimate the conditional variance (EGARCH process) of a housing market in respect to the volatility of housing series is not always constant over time. Furthermore, policy makers should also address the importance of considering the sub-national factors in formulating the national housing policy. The analysis and results are limited by the quality of the data. Originality/value -This paper is one of the few studies in housing volatility. Additionally, it is probably the first attempt to assess the volatility spillover effects in the Australian housing market.

show abstract

Economic Policy Uncertainty and Commercial Property Performance: An In-Depth Analysis of Rents and Capital Values

Ahiadu,

Abidoye,

Yiu

2024

IJFS

View full text Add to dashboard Cite

Economic uncertainty has steadily increased in response to a series of unforeseen shocks, notably the Global Financial Crisis, Brexit, COVID-19, and the Russia–Ukraine war. This study examined the impact of economic uncertainty on rents and capital values in Australia’s office, retail, and industrial property sectors. The reactions of these performance indicators to national uncertainty shocks were assessed through reduced-form vector autoregressive (VAR) models, using quarterly data from 2001Q1 to 2022Q3. Overall, there is an inverse relationship between uncertainty and commercial property performance, with notable variations in magnitude and persistence across the different subsectors. Rents are more sensitive to external shocks across all three subsectors, highlighting their role as signals of short-term performance. Following one standard deviation shock in uncertainty, rents steadily declined for approximately three years in the office and retail subsectors. Industrial rents, however, exhibited muted reactions and recovered quicker, typically within five quarters. This resilience to external shocks displayed by the industrial subsector positions it as a compelling option for defensive investment strategies and portfolio diversification. Capital values are less reactive than rents, showing minimal responses to uncertainty shocks and little long-term persistence.

show abstract

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Volatility Spillover in Australian Commercial Property

Cited by 4 publications

References 33 publications

Information spillovers in Hong Kong REITs and related asset markets

Information spillovers in Hong Kong REITs and related asset markets

Housing price volatility and its determinants

Economic Policy Uncertainty and Commercial Property Performance: An In-Depth Analysis of Rents and Capital Values

Contact Info

Product

Resources

About