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 |
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Boston
Springer US
01.07.2011
Springer Nature B.V |
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| 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. |
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| AbstractList | 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. Reprinted by permission of Springer 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. 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. [PUBLICATION ABSTRACT] |
| Author | Chang, Kuang-Liang Chen, Nan-Kuang Leung, Charles Ka Yui |
| Author_xml | – sequence: 1 givenname: Kuang-Liang surname: Chang fullname: Chang, Kuang-Liang organization: Department of Applied Economics, National Chiayi University – sequence: 2 givenname: Nan-Kuang surname: Chen fullname: Chen, Nan-Kuang organization: Department of Economics, National Taiwan University – sequence: 3 givenname: Charles Ka Yui surname: Leung fullname: Leung, Charles Ka Yui email: kycleung@cityu.edu.hk organization: Department of Economics and Finance, City University of Hong Kong |
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| SubjectTerms | Assets Central banks Dynamical systems Economic analysis Economic models Economics Economics and Finance Equity Federal funding Federal funds rate Financial Services Housing Housing prices Hypotheses Inflation Interest rates Investment returns Monetary policy Monetary theory Real estate Regional/Spatial Science REITs Return on investment Stock prices Stock returns Studies Term structure Vector-autoregressive models Yield curve |
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| Title | Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock |
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