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

Akimov, A., Stevenson, S. and Zagonov, M. (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 1573-045X doi: 10.1007/s11146-014-9492-x

Abstract/Summary

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, slop 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 2007-9 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although the analysis does 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	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/40907
Identification Number/DOI	10.1007/s11146-014-9492-x
Refereed	Yes
Divisions	Henley Business School > Real Estate and Planning
Uncontrolled Keywords	securitised real estate, interest rate risk, yield curve modeling
Publisher	Springer
Download/View statistics	View download statistics for this item