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  • akimov et al 2015 yield curve paper

    Rights statement: The final publication is available at Springer via http://dx.doi.org/10.1007/s11146-014-9492-x

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

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<mark>Journal publication date</mark>11/2015
<mark>Journal</mark>Journal of Real Estate Finance and Economics
Issue number4
Volume51
Number of pages38
Pages (from-to)503-540
Publication statusPublished
Early online date13/01/15
Original languageEnglish

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.

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The final publication is available at Springer via http://dx.doi.org/10.1007/s11146-014-9492-x