RBA Annual Conference – 2012 Securitisation and the Commercial Property Cycle

Table 4: Regression Models for Construction Completions – Other Countries
Australia Japan France
Benchmark
(1)		 With share
(2)		 Benchmark
(3)		 With share
(4)		 Benchmark
(5)		 With share
(6)
Coeff Lag Coeff Lag Coeff Lag Coeff Lag Coeff Lag Coeff Lag
Notes: The dependent variable is the change in log square feet of construction completions for office. The coefficients of seasonal dummies are not shown. Coefficient standard errors are in parentheses. *, ** and *** indicate statistical significance at the 1, 5 and 10 per cent levels, respectively. ρ is the estimate of the coefficient of first-order autocorrelation in the error term.
(a) Market share is definition 1.
Constant 3.656***
(0.267)		   2.962***
(1.008)		   4.969*
(0.159)		   4.776**
(0.214)		   5.051***
(0.186)		   5.087***
(0.327)		  
Sum of current and lagged …
ΔREIT_price 3.188
(2.120)		 3   10.032**
(4.781)		 8   0.63
(1.005)		 1   9.959**
(2.683)		 5 0.378
(0.685)		 1 2.685**
(1.235)		 1
ΔC (constr cost) −38.339**
(15.102)		 1 −18.447
(11.309)		 0 −3.806
(3.465)		 6 −1.029
(1.074)		 1 −0.548
(6.081)		 0 −5.469
(6.528)		 0
mkt share x Strong(a) −0.032
(0.031)		 8 −0.243*
(0.127)		 6 −0.014
(0.144)		 1
mkt share x Weak(a) 0.107
(0.076)		 8 0.452**
(0.181)		 6 0.183
(0.158)		 1
ρ 0.640***
(0.108)		   0.501***
(0.172)		   −0.45**
(0.181)		   0.797***
(0.072)		   0.817***
(0.076)		  
R2 0.36 0.45 0.23 0.51 0.64   0.69
Adjusted R2 0.29   0.29   0.11   0.34   0.61   0.64
s e of regression 0.65   0.57   0.48   0.36   0.31   0.31
Durbin-Watson 1.55   1.64   1.64   1.79   1.84   1.85
Sample (obs) 1997:Q2–2011:Q4
(59)		   2002:Q3–2011:Q4
(38)		   2002:Q2–2011:Q4
(39)		   2003:Q4–2011:Q4
(33)		   1993:Q3–2011:Q4
(74)		   1997:Q2–2011:Q4
(59)