7 research outputs found
A spatial J-test for model specification against a single or a set of non-nested alternatives
No full textSpatial models, Non-nested J-test, Model specification, C01, C12,
Blocked-Error-R 2: A Conceptually Improved Definition of the Proportion of Explained Variance in Models Containing Loops or Correlated Residuals
No full text
The Study on Correlation between the Shipbuilding Order Quantity of Major Shipping Liners and Maritime Freight Rates: Using Granger Causality Analysis
No full textAn empirical study on the dynamic relationship between freight and vessel prices of new-build, second-hand and demolition vessels in dry bulk market
No full textCurrency Substitution and Money Demand in Euroland
Get PDFEMU, money demand, international currencies, currency substitution, E41, E58, F41,
The Dynamics of REIT Capital Flows and Returns
No full textThis study examines the effects of capital flows into the REIT sector on REIT returns and, simultaneously, the effects of REIT returns on subsequent REIT capital flows. The dynamic relation between REIT capital flows and returns is estimated using vector autoregression (VAR) techniques. Unlike static regression techniques, our dynamic model produces estimates of the short-run relationships, long-run relationships, impulse response functions and forecast variance decompositions. We find evidence that REIT equity flows are significantly positively related to the prior quarter's flows and negatively related to flows from two quarters ago. The evidence on the responsiveness of flows to prior returns is time-period specific. In the important post-1992 subperiod, REIT returns do not significantly affect REIT flows in any of the VAR model specifications. Simultaneously, REIT capital flows do appear to have a significant influence on equity REIT returns. Copyright 2003 by the American Real Estate and Urban Economics Association
