Monetary Policy, Term Structure and Asset Return : Comparing REIT, Housing and Stock

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Detail(s)

Original languageEnglish
Pages (from-to)221-257
Journal / PublicationJournal of Real Estate Finance and Economics
Volume43
Issue number1
Publication statusPublished - Jul 2011

Abstract

This paper confirms that a regime-switching model out-performs a linear VAR model in terms of understanding the system dynamics of asset returns. Impulse responses of REIT returns to either the federal funds rate or the interest rate spread are much larger initially but less persistent. Furthermore, the term structure acts as an amplifier of the impulse response for REIT return, a stabilizer for the housing counterpart under some regime, and, perhaps surprisingly, almost no role for the stock return. In contrast, GDP growth has very marginal effect in the impulse response for all assets. © 2010 Springer Science+Business Media, LLC.

Research Area(s)

  • House prices, Markov regime switching, Monetary policy, Regime-dependent, REITs, Term structure, Yield curve