title: Dynamics on real estate and emerging markets
Creators: name: Schätz, Alexander
Publisher: name: Universität Regensburg
Year: 2009
Subjects: subject: Unbewegliche Sache , Schwellenländer , Immobilienmarkt , Emerging Market , Kointegration , Mehrgleichungsmodell , Fehlerkorrekturmodell , Immobilienmärkte , Kointegration , Vektor-Fehler-Korrektur Modell , Real estate markets , emerging markets , cointegration , vector error correction model
subject: 330 Wirtschaft

description: While much attention has focused on the modelling of the interdependencies between key aggregates and stock indices in industrialised countries, this thesis is focused on investments in emerging markets and real estate � two research branches that have up to now not been investigated to a comparable extent. The analysis of individual scientific issues therefore contributes to improving the understanding of conditions and essential interrelationships in these markets and sectors. 

Within the scope of the present thesis, the empirical results are mainly based on the Johansen (1988) procedure. The use of vector error correction models (VECM) guarantees that the dynamic character among the selected determinants is taken into account and furthermore allows the evaluation of both the long-term equilibrium relationships and the channels during the adjustment process after deviations from the long-term trend. In addition, the empirical results are verified by employing further analyses in order to gain deeper insights into the respective scientific issue. 

In Chapter 2 the study examines �Macroeconomic Effects on Emerging Market Sector Indices�. As emerging countries continue to gain in importance for the world economy, it is worthwhile extending research into regions that have up to now been comparatively neglected. Contrary to the a priori defined hypotheses, the majority of the exam-ined sectors benefited from increasing commodity prices during the examination sample. As a result, this finding provides empirical evidence on the suspicion that the ongoing catching-up process and the consequential growth in affluence in the emerging countries is largely driven by growing commodity prices and exports. According to that, not only those sectors which are closely linked to commodity trade activities benefit from rising prices. Instead, via the channels of increasing consumption rates and growing domestic purchasing power within the emerging economies, the remaining sectors also benefit from the increase in export earnings. 

In contrast to Chapter 2, which conducts a cross-sectoral comparison, the fol-lowing chapters are focused on the real estate sector in particular. The scientific approach of Chapter 3 is similar to the first one and is focused on �The Link between Property and Economy� in the German and British real estate markets. On a long-term basis, the results of the implemented VEC models indicate re-markable similarities between both examined real estate markets. Accordingly, in spite of the outlined differences, the long-term equilibrium is determined by the same factors indicating the same signs and the same magnitude of coeffi-cients. Consequently, the empirical results clarify that the fundamental role of property markets in an economy dominates country-specific characteristics in the long run. The distinctive features of the national property markets, however, are primarily relevant during the adjustment process after deviations from the long-term equilibrium. 

Although the economic environment is also considered in Chapter 4, this study is primarily aimed at the scientific issue of whether real estate stock indices in the United States and the United Kingdom are predominantly driven by the underlying property markets or by progress on general stock markets. For this purpose, an alternative approach is used. Instead of focussing only on the assets of real estate equities, direct real estate and stock indices � as was frequently done in previous studies � the macroeconomic environment is here explicitly taken into account in each country. As real estate markets are known to be cyclical in nature (Lizieri et al., 1998), it is therefore supposed that the structure of market behaviour differs across phases of boom and bust. This might be recognisable by lower adjustment velocities after deviations from the equilibrium or by different volatilities of property values depending on the economic situation. 
Accordingly, the implemented methods indicate a significantly stronger linkage among the real estate assets compared to the equity assets in the long run. Therefore, this study clarifies that long-term investments in real estate equity indices still fulfil their function as an alternative investment in order to diversify an investor´s portfolio.
description: Nicht erst seit dem Kollaps auf dem US Subprime Markt erregten die Wechselwirkungen zwischen den internationalen Finanzmärkten und dem makroökonomischen Umfeld die Aufmerksamkeit von Wissenschaftlern, Politikern sowie der breiten Öffentlichkeit. Während der Großteil der wissenschaftlichen Studien auf den Zusammenhang zwischen makroökonomischen Schlüsselfaktoren und den Aktienmärkten in den Industrieländern fokussiert ist, liegt der Schwerpunkt der vorliegenden Arbeit auf den Investmentmärkten der Schwellenländer sowie auf dem Immobiliensektor. 

Unter Verwendung von vector error correction models (VECM) deckt die Untersuchung von zehn Emerging Market Sektorenindizes auf, dass die überwiegende Mehrzahl der Sektoren direkt oder indirekt von steigenden Rohstoffpreisen profitiert. Im Gegensatz zu den Unternehmen in Industrieländern, deren Kostenbelastung durch steigende Rohstoffpreise signifikant erhöht wird, sorgen wachsende Exporteinnahmen in den Emerging Markets hingegen für steigenden Wohlstand und wachsender Binnennachfrage. 

Eine Analyse der Immobilienmärkte in Deutschland und UK kommt zu dem Ergebnis, dass die langfristigen Gleichgewichte beider Märkte vollkommen identisch sind, obwohl es unverkennbare strukturelle Unterschiede zwischen den beiden Immobilienmärkten gibt. Diese Unterschiede kommen jedoch nur bei kurzfristiger Betrachtungsweise zu tragen und machen sich v. a. im Rahmen des Anpassungsprozesses nach Gleichgewichtsabweichungen bemerkbar.

Die ökonometrische Auswertung der Charakteristika von Immobilieninvestments in den USA und UK verdeutlicht, dass Immobilienaktienindizes nach wie vor als Immobilieninvestment im ursprünglichen Sinne gesehen werden können. Demnach überwiegt - aus langfristiger Sicht � der Einfluss der Immobilienobjekte im Vergleich zu möglichen Verzerrungen durch den Handel am Aktienmarkt. Dies bedeutet, dass Immobilienaktien genauso wie direkte Immobilieninvestments weiterhin Möglichkeiten zur langfristigen Portfoliodiversifikation bieten.