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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Interest Rate Sensitivity in European Public Real Estate Markets
AU - Akimov, Alexey
AU - Lee, Chyi Lin
AU - Stevenson, Simon
PY - 2020/9/1
Y1 - 2020/9/1
N2 - The importance of interest rates, in both financial markets and the broader economy, was clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper examines the sensitivity of seven public real estate markets in Europe from 1995 to 2013. Europe is a particularly interesting market to look at in this context. Badly impacted during the financial crisis, it has been further affected by the sovereign debt crisis within the Eurozone. The introduction of the Euro and a single monetary policy within the Eurozone is a complicating factor that raises additional issues. The results highlight that, with one exception, the markets display significant sensitivity in terms of both returns and volatility. The results are, however, sensitive in both a temporal sense and to the interest rate-yield curve proxy used.
AB - The importance of interest rates, in both financial markets and the broader economy, was clearly highlighted during and subsequent to the financial crisis of 2007-09. This paper examines the sensitivity of seven public real estate markets in Europe from 1995 to 2013. Europe is a particularly interesting market to look at in this context. Badly impacted during the financial crisis, it has been further affected by the sovereign debt crisis within the Eurozone. The introduction of the Euro and a single monetary policy within the Eurozone is a complicating factor that raises additional issues. The results highlight that, with one exception, the markets display significant sensitivity in terms of both returns and volatility. The results are, however, sensitive in both a temporal sense and to the interest rate-yield curve proxy used.
KW - Interest rates
KW - interest rate risk
KW - public real estate
KW - Eurozone
KW - yield curve modelling
U2 - 10.1080/10835547.2020.1803694
DO - 10.1080/10835547.2020.1803694
M3 - Journal article
VL - 25
SP - 138
EP - 150
JO - Journal of Real Estate Portfolio Management
JF - Journal of Real Estate Portfolio Management
SN - 1083-5547
IS - 2
ER -