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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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Public real estate and the term structure of interest rates : a cross-country study. / Akimov, Alexey; Stevenson, Simon; Zagonov, Maxim.

In: Journal of Real Estate Finance and Economics, Vol. 51, No. 4, 11.2015, p. 503-540.

Research output: Contribution to journalJournal article

Harvard

Akimov, A, Stevenson, S & Zagonov, M 2015, 'Public real estate and the term structure of interest rates: a cross-country study', Journal of Real Estate Finance and Economics, vol. 51, no. 4, pp. 503-540. https://doi.org/10.1007/s11146-014-9492-x

APA

Akimov, A., Stevenson, S., & 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), 503-540. https://doi.org/10.1007/s11146-014-9492-x

Vancouver

Akimov A, Stevenson S, Zagonov M. Public real estate and the term structure of interest rates: a cross-country study. Journal of Real Estate Finance and Economics. 2015 Nov;51(4):503-540. https://doi.org/10.1007/s11146-014-9492-x

Author

Akimov, Alexey ; Stevenson, Simon ; Zagonov, Maxim. / Public real estate and the term structure of interest rates : a cross-country study. In: Journal of Real Estate Finance and Economics. 2015 ; Vol. 51, No. 4. pp. 503-540.

Bibtex

@article{f1eee957826643f6962e6d17281e44aa,
title = "Public real estate and the term structure of interest rates: a cross-country study",
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. ",
keywords = "securitised real estate , yield curve modeling, interest rate risk",
author = "Alexey Akimov and Simon Stevenson and Maxim Zagonov",
note = "The final publication is available at Springer via http://dx.doi.org/10.1007/s11146-014-9492-x",
year = "2015",
month = nov
doi = "10.1007/s11146-014-9492-x",
language = "English",
volume = "51",
pages = "503--540",
journal = "Journal of Real Estate Finance and Economics",
issn = "0895-5638",
publisher = "Springer Netherlands",
number = "4",

}

RIS

TY - JOUR

T1 - Public real estate and the term structure of interest rates

T2 - a cross-country study

AU - Akimov, Alexey

AU - Stevenson, Simon

AU - Zagonov, Maxim

N1 - The final publication is available at Springer via http://dx.doi.org/10.1007/s11146-014-9492-x

PY - 2015/11

Y1 - 2015/11

N2 - 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.

AB - 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.

KW - securitised real estate

KW - yield curve modeling

KW - interest rate risk

U2 - 10.1007/s11146-014-9492-x

DO - 10.1007/s11146-014-9492-x

M3 - Journal article

VL - 51

SP - 503

EP - 540

JO - Journal of Real Estate Finance and Economics

JF - Journal of Real Estate Finance and Economics

SN - 0895-5638

IS - 4

ER -