Improving forecasts of the level and structure of long-run discount rates in the leasehold property market

2019 ◽  
Author(s):  
Stanimira Milcheva ◽  
Thomas Weston
Keyword(s):  
Discount Rates ◽  
Property Market ◽  
Long Run

scholarly journals Declining discount rates: Economic justifications and implications for long-run policy

2008 ◽  
Vol 23 (56) ◽  
pp. 757-795 ◽  
Author(s):  
Christian Gollier ◽  
Phoebe Koundouri ◽  
Theologos Pantelidis
Keyword(s):  
Discount Rates ◽  
Long Run

scholarly journals Very Long-Run Discount Rates

2013 ◽  
Author(s):  
Stefano Giglio ◽  
Matteo Maggiori ◽  
Johannes Stroebel
Keyword(s):  
Discount Rates ◽  
Long Run

scholarly journals The Time-Varying Nature of Reits

2018 ◽  
Vol 26 (1) ◽  
pp. 26-38
Author(s):  
Bing Zhu
Keyword(s):  
Real Estate ◽  
Time Varying ◽  
Property Market ◽  
True Nature ◽  
Optimal Weights ◽  
Long Run ◽  
Asset Portfolio ◽  
Asset Class ◽  
Informational Environment

Abstract This paper investigates changes in the nature of REITs by estimating the time-varying long-run relationship among securitized real estate, direct real estate, and stock performance. The informational environment of U.S. REITs has matured gradually since their introduction. As more information on this asset class has become available, the “true” nature of REITs has thus become more apparent. We find that the long-term elasticity of direct real estate total returns on REIT total returns has increased since 1980, and became significant at the beginning of the 1990s, while the elasticity of general equity total returns remained insignificant. During the 2000s, the underlying property market was able to predict nearly 30% of REIT variance in the long term. Consequently, ignoring changes in the “nature” of REITs may lead to an underestimation of the influence from the underlying property market, and misspecification of the optimal weights in the long-term inter-asset portfolio.

scholarly journals EXCHANGE RATE AND PERFORMANCE OF THE RESIDENTIAL PROPERTY MARKET IN KENYA

2019 ◽  
Vol 8 (3) ◽  
pp. 88-100
Author(s):  
Charles Gitiya Njoroge ◽  
Willy Muturi ◽  
Oluoch Oluoch
Keyword(s):  
Exchange Rate ◽  
Optimal Solution ◽  
Secondary Data ◽  
Residential Property ◽  
Property Market ◽  
Solution Vector ◽  
Distributed Lag ◽  
Distributed Lag Model ◽  
Long Run ◽  
Short Run

The purpose of the study was to establish the effect of exchange rate on the performance of the residential property market in Kenya. The study used secondary data that was accumulated using secondary data collection sheet from first quarter of 2005 to fourth quarter of 2018. The study conducted several test statistics and diagnostic tests in order to achieve the most optimal solution. Vector error correction model and auto-regressive distributed lag model were employed to test the hypothesis in the short run and long run respectively. The results found out that exchange rate had a negative effect on performance of residential properties in Kenya in both the short run and positive effect in long run. The study has narrowed down the research gap brought about by the conflicting emprical, theoretical and conceptual literature with regard to the effect of exchange rate on performance of residential property market in Kenya. Key Words: Exchange Rate, Performance, Residential Property

scholarly journals The Long-Run Behavior of Consumption and Wealth Dynamics in Complete Financial Market with Heterogeneous Investors

2014 ◽  
Vol 2014 ◽  
pp. 1-16
Author(s):  
Darong Dai
Keyword(s):  
Financial Market ◽  
Heterogeneous Beliefs ◽  
Wealth Accumulation ◽  
Consumption Tax ◽  
Discount Rates ◽  
Intertemporal Substitution ◽  
Uniform Topology ◽  
Long Run ◽  
Time Discount ◽  
Wealth Tax

A type of complete financial market with finite and countable heterogeneous investors, that is, investors equipped with heterogeneous elasticities of intertemporal substitution, heterogeneous time discount rates, and also heterogeneous beliefs, is constructed and two main results are established. First, long-run behaviors, specifically golden rules or modified golden rules, about consumption path and wealth accumulation are investigated under uncertainty and in the sense of uniform topology. Second, inefficacy of temporary taxation policies, which are chosen to be consumption tax and wealth tax, is confirmed in the current financial market.

scholarly journals Climate Change and Long-Run Discount Rates: Evidence from Real Estate

2015 ◽  
Author(s):  
Stefano Giglio ◽  
Matteo Maggiori ◽  
Johannes Stroebel ◽  
Andreas Weber
Keyword(s):  
Climate Change ◽  
Real Estate ◽  
Discount Rates ◽  
Long Run

scholarly journals DOES BANKING SECTOR DEVELOPMENT HAVE ANY ASSOCIATION WITH ECONOMIC GROWTH AND INTEREST RATES IN PAKISTAN?

2019 ◽  
Vol IV (I) ◽  
pp. 100-107
Author(s):  
Muhammad Yusuf Amin ◽  
Syed Imran Khan ◽  
Noor Hassan
Keyword(s):  
Economic Growth ◽  
Interest Rates ◽  
Granger Causality ◽  
Banking Sector ◽  
Real Exchange Rates ◽  
Discount Rates ◽  
Causality Test ◽  
Bank Deposits ◽  
Long Run ◽  
Banking Sector Development

The study aims to examine the association between banking sector development, real exchange rates, inflation rates, federal discount rates, economic growth and bank deposits in Pakistan. The study employs Johansen co-integration method and Granger causality test. The empirical results confirm for the existence of a long run relationship between banking sector development and inflation, economic growth and federal discount rates. The results of Granger causality indicate that US interest rates affect the development of the Pakistani banking sector. This confirms the existence of spillover impact.

scholarly journals Climate Change and Long-Run Discount Rates: Evidence from Real Estate

2015 ◽  
Author(s):  
Stefano Giglio ◽  
Matteo Maggiori ◽  
Johannes Stroebel ◽  
Andreas Weber
Keyword(s):  
Climate Change ◽  
Real Estate ◽  
Discount Rates ◽  
Long Run

scholarly journals Very Long-Run Discount Rates *

2014 ◽  
Vol 130 (1) ◽  
pp. 1-53 ◽  
Author(s):  
Stefano Giglio ◽  
Matteo Maggiori ◽  
Johannes Stroebel
Keyword(s):  
Housing Markets ◽  
Cash Flows ◽  
Data Sets ◽  
Discount Rates ◽  
Present Value ◽  
Price Discounts ◽  
The United Kingdom ◽  
Long Run ◽  
Uncertain Future ◽  
The Universe

Abstract We estimate how households trade off immediate costs and uncertain future benefits that occur in the very long run, 100 or more years away. We exploit a unique feature of housing markets in the United Kingdom and Singapore, where residential property ownership takes the form of either leaseholds or freeholds. Leaseholds are temporary, prepaid, and tradable ownership contracts with maturities between 99 and 999 years, while freeholds are perpetual ownership contracts. The price difference between leaseholds and freeholds reflects the present value of perpetual rental income starting at leasehold expiration, and is thus informative about very long-run discount rates. We estimate the price discounts for varying leasehold maturities compared to freeholds and extremely long-run leaseholds via hedonic regressions using proprietary data sets of the universe of transactions in each country. Households discount very long-run cash flows at low rates, assigning high present value to cash flows hundreds of years in the future. For example, 100-year leaseholds are valued at more than 10% less than otherwise identical freeholds, implying discount rates below 2.6% for 100-year claims.

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