1970 Roulac (1996) (shock) (structure change) Barras and Ferguson (1985) Barras (1994) (1990) (1996) (1997) 1

1970 Roulac (1996) (shock) (structure change) Barras and Ferguson (1985) Barras (1994) (1990) (1996) (1997) 1

(1998) 1990 (Unit Root Test) (Cointegration) (Error Correction Model) 1 (1996) 2 (1990) 2

Barras and Ferguson (1985) ( ) () (E1E2) 3

4

Voith and Crone (1988) Pollakowski, Wachter and Lynford (1992) () () 3 (1999b) 5

- (1994) 4 (1994) (P) (Y) (r) (G e ) 5 d e H = f ( P, Y, r, G ) (1) H d P d d d H H H 0; 0; 0; 0 e Y r G 4 62 0.9341 5 6

6 (BP) 7 (VAC) (P) 8 H S = f ( P, BP, VAC) (2) H s P s s H H 0; 0; 0; BP VAC e P = f ( Y, r, VAC, BP, G ) (3) P Y P P P P 0; 0; 0; 0; 0 e r VAC BP G (GDP ) ( M1 b ) 9 10 6 (1998) 7 45 8 9 (1994) 10 7

(Cy) (CPI ) 11 1 0 1 P = f(bp,vac,gdp,m1b,cy ) P P P P P 0 ; 0; 0; 0; =? BP VAC GDP M1b Cy (Pa) (Pb) 1981 1999 73 11 (1997) 1990 (intergration) 1990 8

12 EPS () 1983 1984 10% 1986 1987 10% 1982 1984 10 1986 20% 1987 51.54% 1989 1991 1992 1993 1995 1997 20 1981 1999 1986 1989 ( ) () 1984 1985 1987 1990 20% 1988 110.93% ( ) 12... = + * (1999) 68 82-83 9

1986 1990 15% 1987 64.68% ( ) () 1981 1999 (1991 1992 ) (1986 1987 ) 13 1986 1987 10% 1987 42.04% 1991 1992 20% 1992 140.28% 1986 1990 1991 ( ) () (1986 1989 ) 1994 1996 10% ( ) 13 1984 1985 10

11-40.00% -20.00% 0.00% 20.00% 40.00% 60.00% 80.00% 100.00% 120.00% 1982Q1 1982Q3 1983Q1 1983Q3 1984Q1 1984Q3 1985Q1 1985Q3 1986Q1 1986Q3 1987Q1 1987Q3 1988Q1 1988Q3 1989Q1 1989Q3 1990Q1 1990Q3 1991Q1 1991Q3 1992Q1 1992Q3 1993Q1 1993Q3 1994Q1 1994Q3 1995Q1 1995Q3 1996Q1 1996Q3 1997Q1 1997Q3 1998Q1 1998Q3 1999Q1-10.00% 0.00% 10.00% 20.00% 30.00% 40.00% 50.00% 60.00% GDP,M1b GDP M1b -30.00% -20.00% -10.00% 0.00% 10.00% 20.00% 30.00% 40.00% 50.00% 60.00% 70.00% 1982Q1 1982Q3 1983Q1 1983Q3 1984Q1 1984Q3 1985Q1 1985Q3 1986Q1 1986Q3 1987Q1 1987Q3 1988Q1 1988Q3 1989Q1 1989Q3 1990Q1 1990Q3 1991Q1 1991Q3 1992Q1 1992Q3 1993Q1 1993Q3 1994Q1 1994Q3 1995Q1 1995Q3 1996Q1 1996Q3 1997Q1 1997Q3 1998Q1 1998Q3 1999Q1-10.00% 0.00% 10.00% 20.00% 30.00% 40.00% 50.00% 60.00% GDP,M1b GDP M1b

12-10.00% 0.00% 10.00% 20.00% 30.00% 40.00% 50.00% 60.00% 1982Q1 1982Q3 1983Q1 1983Q3 1984Q1 1984Q3 1985Q1 1985Q3 1986Q1 1986Q3 1987Q1 1987Q3 1988Q1 1988Q3 1989Q1 1989Q3 1990Q1 1990Q3 1991Q1 1991Q3 1992Q1 1992Q3 1993Q1 1993Q3 1994Q1 1994Q3 1995Q1 1995Q3 1996Q1 1996Q3 1997Q1 1997Q3 1998Q1 1998Q3 1999Q1 GDP,M1b -100.00% -50.00% 0.00% 50.00% 100.00% 150.00% GDP M1b -100.00% -50.00% 0.00% 50.00% 100.00% 150.00% 1982Q1 1982Q3 1983Q1 1983Q3 1984Q1 1984Q3 1985Q1 1985Q3 1986Q1 1986Q3 1987Q1 1987Q3 1988Q1 1988Q3 1989Q1 1989Q3 1990Q1 1990Q3 1991Q1 1991Q3 1992Q1 1992Q3 1993Q1 1993Q3 1994Q1 1994Q3 1995Q1 1995Q3 1996Q1 1996Q3 1997Q1 1997Q3 1998Q1 1998Q3 1999Q1

120.00% 25.00% 100.00% 20.00% 80.00% 15.00% 60.00% 10.00% 40.00% 20.00% 5.00% 0.00% 0.00% -20.00% -5.00% -40.00% -10.00% 1999Q1 1998Q3 1998Q1 1997Q3 1997Q1 1996Q3 1996Q1 1995Q3 1995Q1 1994Q3 1994Q1 1993Q3 1993Q1 1992Q3 1992Q1 1991Q3 1991Q1 1990Q3 1990Q1 1989Q3 1989Q1 1988Q3 1988Q1 1987Q3 1987Q1 1986Q3 1986Q1 1985Q3 1985Q1 1984Q3 1984Q1 1983Q3 1983Q1 1982Q3 1982Q1 (stationary) (spurious regression) ADF(Augmented Dickey-Fuller) PP(Phillips-Perron) (level) (first difference) 14 Box-Jenkins 13

M1b ADF PP ADF PP 5% (1) bandwidth length I(1) Johansen (Lambda Max) (Trace Test) 1987 1990 1 0 1987 01987 1 16 15 GDP I(0)I(1) 16 (1998) 762-768 17 X11 X11 (noise) 14

Akaike Information Citerion (AIC) 2 3 Lujing Box Q Breusch Goldfrey LM Engle Lagrange Multiplier (conditional heteroscedasticity) Ho:r=0 Ho:r=1 5% Ho: r2 5% 97.5% Ho:r=0 5% Ho:r=1 5% Johansen and Juselius (1990) 18 AB=A A B 1 15

Ho:r=0 L-max 5% trace 5% Ho:r=0 5% Ho:r=1 5% 19 Johansen(1991) 16

BP 10% BP 0 t t lnm1b t ln Pa ) ln Pb ) t t lnvac t lnbp t Johansen MLE 17

Cy 0.003t 0.13 Cy 0.08t 4.62 1% 1% Cy 75-79 18

19 L-B(17) LM(1) LM(4) Normality ARCH(2)

L-B(17) LM(1) LM(4) Normality ARCH(3) 20

Markov-Switching Model 21

1. (1996),,,,, pp.35-56 2. (1997), 3. (1997),,,, pp75-91 4. (1994), pp43-61 5. (1994), -,,pp49-65 6. (1994), pp63-87 7. (1999),, pp79-94 8. (1990), pp333-411 9. (1998),,26,4,pp409-429 10. (1999) 11. Barras, R and Ferguson, D.(1985), A Spectral Analysis of Building Cycle in Britian Environment and Planning A,17,1369-91. 12. Barras, R.(1994), Property and the Economic Cycle: Cycles Revisited, Journal of Property Research,11,183-97. 22

13. Johansen, S.(1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254. 14. Johansen, S. K. Juselius(1990), Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money Oxford Bulletin of Economics and Statistics, Vol. 52, pp.169-210. 15. Johansen, S.(1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Regression Models, Econometrica, Vol. 59, pp.1551-80. 16. Osterwald-Lenum, M.(1992), A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics, Oxford Bulletin of Economics and Statistics, Vol. 54, pp.461-72. 17. Pollakowski, H. O., S. M. Wachter and L. Lynford (1992),Did Office Market Size Matter in the 1980s? A Time-Series Cross-Sectional Analysis of Metropolitan Area Office Markets, Journal of American Real Estate and Urban Economics Association, 20(2), 303-324. 18. Stephen E. Roulac (1996) Real estate market cycles, transformation forces and structural change, The Journal of Real Estate Portfolio Management,1-17. 19. Voith, R. D. and T. Crone(1988),National Vacancy Rates and the Persistence of Shocks in U. S. Office Markets, Journal of American Real Estate and Urban Economics Association, 16, 443-458. 23