Public real estate and the term structure of interest rates : a cross-country study

Akimov, Alexey and Stevenson, Simon and Zagonov, Maxim (2015) Public real estate and the term structure of interest rates : a cross-country study. Journal of Real Estate Finance and Economics, 51 (4). pp. 503-540. ISSN 0895-5638

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Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slope and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to interest rates and highlight the importance of considering the entire term structure of interest rates. One issue that is of particular of interest is that despite the 2007-09 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although we examine a range of markets the empirical analysis is unable to provide definitive evidence as to whether REIT and property-company markets display heightened or reduced exposure.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Real Estate Finance and Economics
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Uncontrolled Keywords:
?? securitised real estate yield curve modelinginterest rate riskfinanceeconomics and econometricsaccountingurban studiesdiscipline-based research ??
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Deposited On:
22 Jan 2015 10:13
Last Modified:
31 Dec 2023 00:32