A Calibration for the UK Property Model
Document ID: 2009-1279 (previously 2004/03)
Published on: 29th January 2009
This note presents a calibration of Barrie & Hibbert’s models for property yield and returns. The calibration is used for the purpose of modelling UK property investment behaviour over long-term planning horizons.
In the most basic model, returns in excess of cash are assumed to be lognormally distributed. Property yields are assumed to follow a mean-reverting first-order autoregressive process. The model is calibrated using best-estimates of model parameters.
