Regime shifts in ex post UK commercial property risk premiums
Using a Markov Switching Model, the hypothesis that ex post commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each point...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
E and FN Spon
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/15286 |
| _version_ | 1848748852474019840 |
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| author | Hutchison, N. Fraser, Patricia Adair, A. Srivatsa, R. |
| author_facet | Hutchison, N. Fraser, Patricia Adair, A. Srivatsa, R. |
| author_sort | Hutchison, N. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Using a Markov Switching Model, the hypothesis that ex post commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each point in time were estimated. Results suggest that industrial and retail sectors exhibit regime shifting behaviour although the probability of shifting between high- and low-risk states, while significant, was low compared to them remaining the same. Investigation of the transitional probabilities suggested the propensity to shift regimes differs between sectors, but is generally more prevalent in periods of relative uncertainty. |
| first_indexed | 2025-11-14T07:11:38Z |
| format | Journal Article |
| id | curtin-20.500.11937-15286 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:11:38Z |
| publishDate | 2012 |
| publisher | E and FN Spon |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-152862017-09-13T16:05:29Z Regime shifts in ex post UK commercial property risk premiums Hutchison, N. Fraser, Patricia Adair, A. Srivatsa, R. Markov switching model ex post risk premium regime shift UK commercial property Using a Markov Switching Model, the hypothesis that ex post commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each point in time were estimated. Results suggest that industrial and retail sectors exhibit regime shifting behaviour although the probability of shifting between high- and low-risk states, while significant, was low compared to them remaining the same. Investigation of the transitional probabilities suggested the propensity to shift regimes differs between sectors, but is generally more prevalent in periods of relative uncertainty. 2012 Journal Article http://hdl.handle.net/20.500.11937/15286 10.1080/09599916.2012.686516 E and FN Spon restricted |
| spellingShingle | Markov switching model ex post risk premium regime shift UK commercial property Hutchison, N. Fraser, Patricia Adair, A. Srivatsa, R. Regime shifts in ex post UK commercial property risk premiums |
| title | Regime shifts in ex post UK commercial property risk premiums |
| title_full | Regime shifts in ex post UK commercial property risk premiums |
| title_fullStr | Regime shifts in ex post UK commercial property risk premiums |
| title_full_unstemmed | Regime shifts in ex post UK commercial property risk premiums |
| title_short | Regime shifts in ex post UK commercial property risk premiums |
| title_sort | regime shifts in ex post uk commercial property risk premiums |
| topic | Markov switching model ex post risk premium regime shift UK commercial property |
| url | http://hdl.handle.net/20.500.11937/15286 |