Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock
Resource
The Journal of Real Estate Finance and Economics
Journal
The Journal of Real Estate Finance and Economics
Pages
221-257
Date Issued
2010
Date
2010
Author(s)
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. © 2010 Springer Science+Business Media, LLC.
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journal article
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