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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Abstract

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
Additional Information:
The final publication is available at Springer via http://dx.doi.org/10.1007/s11146-014-9492-x
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
72473
Deposited By:
Deposited On:
22 Jan 2015 10:13
Refereed?:
Yes
Published?:
Published
Last Modified:
19 Sep 2020 03:12