Interest Rate Sensitivity in European Public Real Estate Markets

Akimov, Alexey and Lee, Chyi Lin and Stevenson, Simon (2020) Interest Rate Sensitivity in European Public Real Estate Markets. Journal of Real Estate Portfolio Management, 25 (2). pp. 138-150. ISSN 1083-5547

[img]
Text (Interest Rate and European Public Real Estate)
Interest_Rate_and_European_Public_Real_Estate.pdf - Accepted Version
Available under License Creative Commons Attribution.

Download (1MB)

Abstract

The importance of interest rates, in both financial markets and the broader economy, was clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper examines the sensitivity of seven public real estate markets in Europe from 1995 to 2013. Europe is a particularly interesting market to look at in this context. Badly impacted during the financial crisis, it has been further affected by the sovereign debt crisis within the Eurozone. The introduction of the Euro and a single monetary policy within the Eurozone is a complicating factor that raises additional issues. The results highlight that, with one exception, the markets display significant sensitivity in terms of both returns and volatility. The results are, however, sensitive in both a temporal sense and to the interest rate-yield curve proxy used.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Real Estate Portfolio Management
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2001
Subjects:
ID Code:
148540
Deposited By:
Deposited On:
27 Oct 2020 12:45
Refereed?:
Yes
Published?:
Published
Last Modified:
04 Dec 2020 05:49