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Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study

Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study

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References (70)

Publisher
Springer Journals
Copyright
Copyright © 2015 by Springer Science+Business Media New York
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
DOI
10.1007/s11146-014-9492-x
Publisher site
See Article on Publisher Site

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.

Journal

The Journal of Real Estate Finance and EconomicsSpringer Journals

Published: Jan 13, 2015

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