Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock
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,...
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Published in | The journal of real estate finance and economics Vol. 43; no. 1-2; pp. 221 - 257 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
Boston
Springer US
01.07.2011
Springer Nature B.V |
Subjects | |
Online Access | Get full text |
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Summary: | 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. |
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Bibliography: | ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 0895-5638 1573-045X |
DOI: | 10.1007/s11146-010-9241-8 |