Regime-dependent linkages between securitized real estate market and major financial markets: some international evidence
Regime-dependent linkages between securitized real estate market and major financial markets: some international evidence
复制标题
证券化房地产市场与主要金融市场之间依赖于制度的联系：一些国际证据
DOI：
10.1080/14445921.2018.1552470
复制
发表时间：
2018
影响因子：
0.8
通讯作者：
Qing Ye
中科院分区：
文献类型：
--
作者：
K. Liow;Qing Ye
摘要 我们采用马尔可夫政权转换方法来探讨 10 个经济体的证券化房地产市场与股票、货币、债券和外汇市场之间的政权依赖联系。在房地产证券化市场波动较大的时期，股票市场收益以及一定程度上外汇市场汇率的变化对房地产证券化市场收益产生更强烈的积极影响。此外，股票和债券市场风险与证券化房地产市场风险呈负相关。尽管在所研究的 10 个经济体中，金融市场表现指标对上置房地产市场的不对称制度依赖性影响在方向和重要性方面确实存在差异，但结果凸显了在市场波动较大的情况下，证券化房地产市场对金融市场的敞口增加的风险，投资者和政策制定者应对此保持警惕。
ABSTRACT We employ Markov regime-switching approach to explore the regime-dependent linkages between securitized real estate market and stock, money, bond and foreign exchange markets for 10 economies. During high-volatility periods in securitized property markets, stock market return, and to some extent, changes to foreign exchange market rates impose stronger and positive impact on securitized real estate market returns. Moreover, stock and bond market risks are linked negatively to securitized real estate market risk. Although the asymmetrical regime-dependent influences of the financial market performance indicators on the SRE market do vary across the 10 economies studied in terms of direction and significance, the results highlight the risk of increased exposure of securitized property markets to financial markets during high-volatility market conditions which the investors and policymakers should be alerted to.