Real estate returns,money and fiscal deficits: Is the real estate market efficient? |
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Authors: | Ali F Darrat John L Glascock |
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Institution: | (1) Department of Economics & Finance, Louisiana Tech University, 71272 Ruston, LA, USA;(2) The Real Estate Research Institute, Louisiana State University, Baton Rouge, USA |
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Abstract: | This research examines the causal relationship between several financial variables and a portfolio of real estate returns using monthly data from January 1965 to December 1986. The empirical analysis is based on multivariate Granger-causality tests in conjunction with Akaike's final prediction error criterion. The results indicate that measures approximating monetary policy and market returns play an important role in causing changes in real estate returns. In particular, our findings suggest that base money and market returns have had significant lagged effects on current real estate returns. |
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Keywords: | real estate returns monetary policy market efficiency Granger causality tests |
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