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Interest Rate Sensitivity in European Public Real Estate Markets

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Interest Rate Sensitivity in European Public Real Estate Markets. / Akimov, Alexey; Lee, Chyi Lin; Stevenson, Simon.

In: Journal of Real Estate Portfolio Management, Vol. 25, No. 2, 01.09.2020, p. 138-150.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Akimov, A, Lee, CL & Stevenson, S 2020, 'Interest Rate Sensitivity in European Public Real Estate Markets', Journal of Real Estate Portfolio Management, vol. 25, no. 2, pp. 138-150. https://doi.org/10.1080/10835547.2020.1803694

APA

Akimov, A., Lee, C. L., & Stevenson, S. (2020). Interest Rate Sensitivity in European Public Real Estate Markets. Journal of Real Estate Portfolio Management, 25(2), 138-150. https://doi.org/10.1080/10835547.2020.1803694

Vancouver

Akimov A, Lee CL, Stevenson S. Interest Rate Sensitivity in European Public Real Estate Markets. Journal of Real Estate Portfolio Management. 2020 Sep 1;25(2):138-150. https://doi.org/10.1080/10835547.2020.1803694

Author

Akimov, Alexey ; Lee, Chyi Lin ; Stevenson, Simon. / Interest Rate Sensitivity in European Public Real Estate Markets. In: Journal of Real Estate Portfolio Management. 2020 ; Vol. 25, No. 2. pp. 138-150.

Bibtex

@article{bc0cdc5694134961bbe22bb00f526065,
title = "Interest Rate Sensitivity in European Public Real Estate Markets",
abstract = "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.",
keywords = "Interest rates, interest rate risk, public real estate, Eurozone, yield curve modelling",
author = "Alexey Akimov and Lee, {Chyi Lin} and Simon Stevenson",
year = "2020",
month = sep,
day = "1",
doi = "10.1080/10835547.2020.1803694",
language = "English",
volume = "25",
pages = "138--150",
journal = "Journal of Real Estate Portfolio Management",
issn = "1083-5547",
publisher = "American Real Estate Society",
number = "2",

}

RIS

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 -