{"id":617,"date":"2020-04-28T01:21:27","date_gmt":"2020-04-27T17:21:27","guid":{"rendered":"http:\/\/localhost:8888\/?p=617"},"modified":"2025-12-28T05:16:37","modified_gmt":"2025-12-27T21:16:37","slug":"long-term-cointegrative-and-short-term-causal-relations-among-u-s-real-estate-sectors","status":"publish","type":"post","link":"https:\/\/www.gssinst.org\/irer\/2020\/04\/28\/long-term-cointegrative-and-short-term-causal-relations-among-u-s-real-estate-sectors\/","title":{"rendered":"Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"617\" class=\"elementor elementor-617\" data-elementor-settings=\"[]\">\n\t\t\t\t\t\t<div class=\"elementor-inner\">\n\t\t\t\t\t\t\t<div class=\"elementor-section-wrap\">\n\t\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-f13359a elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"f13359a\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t\t\t<div class=\"elementor-row\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-7ba7d225\" data-id=\"7ba7d225\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-column-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t<div class=\"elementor-widget-wrap\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-4e8cfed2 elementor-widget elementor-widget-text-editor\" data-id=\"4e8cfed2\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-text-editor elementor-clearfix\"><div class=\"article_label\">Article<\/div><p class=\"article_title\">Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors<\/p><div><p class=\"title_label_large\">Author<\/p><p class=\"title_label_large\">Start Page \/ End Page<\/p><p class=\"title_label\">Volume<\/p><p class=\"title_label\">Issue Number<\/p><p class=\"title_label\">Year<\/p><p class=\"title_label_large\">Publication<\/p><\/div><div><p><!-- Author \/ StartEndPage \/ Volume \/ IssueNumber \/ Year \/ Publication --><\/p><p class=\"title_text_large\">Paul Gallimore, J. Andrew Hansz, Wikrom Prombutr, Ying Zhang<\/p><p class=\"title_text_large\">359 \/ 394<\/p><p class=\"title_text\">17<\/p><p class=\"title_text\">3<\/p><p class=\"title_text\">2014<\/p><p class=\"title_text_large\">International Real Estate Review<\/p><\/div><div class=\"empty\">\u00a0<\/div><p class=\"abstract_label\">Abstract<\/p><p><!-- Abstract Content --><br \/>We investigate long-term cointegrative and short-term causal relations among seven U.S. sectoral REITs. First, cointegration tests identify one long-term cointegrative relation among five of the sectors, which suggests that two of the sectors are outside the cointegrative space. Second, short-term Granger causality tests identify three leading and two following cointegrated sectors. Third, a proposed vector autoregressive model indicates that a stronger cointegrating effect is induced by declining real estate markets and a multivariate sensitivity regression model shows that unexpected inflation significantly and negatively influences the cointegrative disequilibrium. Lastly, our cointegration-based portfolio performance analyses show that the inferior performance of the all-sector market portfolio stems from containing the redundant cointegrated sectors which shatter portfolio diversification.<\/p><p><!-- PDF DownloadLink --><\/p><p>\u00a0<\/p><p class=\"download\"><a href=\"http:\/\/www.gssinst.org\/irer\/wp-content\/uploads\/2020\/10\/v17n3-long-term-cointegrative-and-short-term-causal-relations-among-us-real-estate-sectors.pdf\"><strong>View PDF -https:\/\/doi.org\/10.53383\/100189<\/strong><\/a><\/p><div class=\"empty\">\u00a0<\/div><p class=\"abstract_label\">Keywords<\/p><p><!-- Keywords --><\/p><p class=\"keywords\">Cointegration; Domestic Real Estate Sector; Error Correction Model; Portfolio Construction and Diversification; Vector Autoregressive Model<\/p><p><a class=\"backpage\">Back to Previous Page<\/a><\/p><\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<div>\n<p class=\"title_label_large\">Author<\/p>\n<p class=\"title_label_large\">Start Page \/ End Page<\/p>\n<p class=\"title_label\">Volume<\/p>\n<p class=\"title_label\">Issue Number<\/p>\n<p class=\"title_label\">Year<\/p>\n<p class=\"title_label_large\">Publication<\/p>\n<\/div>\n<div>\n<!-- Author \/ StartEndPage \/ Volume \/ IssueNumber \/ Year \/ Publication --><\/p>\n<p class=\"title_text_large\">Paul Gallimore, J. Andrew Hansz, Wikrom Prombutr, Ying Zhang<\/p>\n<p class=\"title_text_large\"> 359 \/ 394<\/p>\n<p class=\"title_text\">17<\/p>\n<p class=\"title_text\">3<\/p>\n<p class=\"title_text\">2014<\/p>\n<p class=\"title_text_large\">International Real Estate Review<\/p>\n<\/div>\n<p class=\"abstract_label mt16\">Keywords<\/p>\n<p class=\"keywords\">Cointegration; Domestic Real Estate Sector; Error Correction Model; Portfolio Construction and Diversification; Vector Autoregressive Model<\/p>\n<p class=\"downloadLine\"><a href=\"https:\/\/www.um.edu.mo\/fba\/irer\/papers\/past\/vol17n3_pdf\/03.pdf\">Download Entire Article.<img src=\"https:\/\/i.ibb.co\/m8rCXNQ\/download-pdf-large.png\" alt=\"download-pdf-large\" border=\"0\"> <\/a><\/p>\n","protected":false},"author":6,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"article-template.php","format":"standard","meta":[],"categories":[78,77],"tags":[],"_links":{"self":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/617"}],"collection":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/comments?post=617"}],"version-history":[{"count":3,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/617\/revisions"}],"predecessor-version":[{"id":4980,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/617\/revisions\/4980"}],"wp:attachment":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/media?parent=617"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/categories?post=617"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/tags?post=617"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}