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Macroeconomic Risk Factors In Australian Commercial Real Estate, Listed Property Trust And Property Sector Stock Returns, Tracey West, Andrew C. Worthington

Faculty of Commerce - Papers (Archive)

This paper employs a Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed property trust and property stock) returns are included in the analysis, along with market returns, short, medium and long-term interest rates, expected and unexpected inflation, construction activity and industrial employment and production. In general, the macroeconomic factors examined are found to be significant risk factors in Australian commercial property returns. However, the results also indicate that forecast accuracy in these …