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

• Published in: The journal of real estate finance and economics Vol. 43; no. 1-2; pp. 221 - 257
• Main Authors: Chang, Kuang-Liang, Chen, Nan-Kuang, Leung, Charles Ka Yui
• Format: Journal Article
• Language: English
• Published: Boston Springer US 01.07.2011; Springer Nature B.V
• Subjects: 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; E5; Term structure; REITs; Regime-dependent; Monetary policy; Yield curve; House prices; G0; Markov regime switching; R0

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,...