U.S. Monetary Policy Surprises and International Securitized Real Estate Markets

Xu, Pisun; Yang, Jian

doi:10.1007/s11146-009-9215-x

Cited by 17 publications

(21 citation statements)

References 31 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…These six countries are frequently included in empirical research aiming to study international real estate markets (e.g. Xu & Yang, 2009;. Furthermore, according to a report released by Pramerica Real Estate Investors, the six markets represent about 88.7% of the global market as of 3 January 2005.…”

Section: Datamentioning

confidence: 99%

Comovement of international real estate securities returns: a wavelet analysis

Zhou

2010

Journal of Property Research

View full text Add to dashboard Cite

The comovement of equity markets is of crucial importance for portfolio diversification and risk management. In this study, we utilise the wavelet analysis to examine the comovement among international securitised real estate markets as well as the cross-market comovement between the stock and securitised real estate markets. As a novel approach, wavelet analysis has not yet been applied to the real estate field. Its advantage lies in that it allows us to assess the comovement in the time and frequency domains simultaneously. Using it, we carry out the study for six countries, namely US, UK, Japan, Australia, Hong Kong and Singapore. Our findings highlight the importance of considering both the time-and frequencyvarying features of the comovement in designing international portfolios.

show abstract

Section: Datamentioning

confidence: 99%

Comovement of international real estate securities returns: a wavelet analysis

Zhou

2010

Journal of Property Research

View full text Add to dashboard Cite

show abstract

“…Specifically, the target factor is designed to measure the market's surprises regarding a change in the current federal funds target rate, while the path factor is designed to represent the surprises in the FOMC's possible future policy (and its interpretation of economic outlook) as reflected in the wording of the FOMC statements. The path factor is shown to have a significant effect on financial markets in several earlier studies (e.g., Wang, Yang and Wu 2006, Wang, Yang and Simpson 2008, Wongswan 2009, Hausman and Wongswan 2011, Xu and Yang 2011.…”

Section: Us Monetary Policy Surprises Datamentioning

confidence: 86%

“…Following the previous literature (e.g., Wang, Yang and Wu 2006, Wang, Yang and Simpson 2008, Wongswan 2009, Hausman and Wongswan 2011, Xu and Yang 2011, we use the event study methodology to examine the change in mortgage rates around the FOMC announcements. We further refine the methodology in the previous literature in two aspects.…”

Section: The Baseline Modelmentioning

confidence: 99%

“…As a consequence, FOMC statements disseminate additional information on the future path of monetary policy beyond the information on the target federal funds rate. 1 This article extends the recent central bank communication literature on other U.S. financial markets (Bernanke, Reinhart and Sack 2004, Gürkaynak, Sack and Swanson 2005, Wang, Yang and Wu 2006, Wang, Yang and Simpson 2008, Wongswan 2009, Hausman and Wongswan 2011, Xu and Yang 2011 and uses two factors to better measure U.S. monetary policy surprises. We find evidence that mortgage rates react to both the target and path factors in this study.…”

mentioning

confidence: 91%

See 1 more Smart Citation

U.S. Monetary Policy Surprises and Mortgage Rates

Xu¹,

Han²,

Yang³

2012

Real Estate Economics

Self Cite

View full text Add to dashboard Cite

This article examines how the U.S. monetary policy surprises impact the mortgage rates in the nation and across five regions from 1990 to 2008. Regression analysis based on bootstrapping shows that surprises in the target federal funds rate (the target factor) have a significantly positive impact on the 1-year adjustable-rate mortgage (ARM) rate within the week of the Federal Open Market Committee announcements and the positive impact lasts up to 1 week after the announcements. Surprises in the future direction of the Federal Reserve monetary policy (the path factor) have significantly positive impacts on both the 1-year ARM rate and the 30-year fixed mortgage rates in the first week after the announcement. Furthermore, the responses of mortgage rates are asymmetric and affected by the size of monetary policy surprises, the stage of the business cycle and whether the monetary policy is tightening or loosening. There also exists heterogeneity in the mortgage rate pass-through process across regions and monetary policy surprises have differential impacts on the regional mortgage rates. The cross-region variations are mainly correlated with the regional housing market conditions, such as home vacancy and rental vacancy rates.The transmission mechanism of monetary policy has been an important topic with significant policy implications. The main channel for such transmission is the interest rate channel, in which the pass-through of the key policy rate to retail bank interest rates is a fundamental element. It is generally believed that changes in the policy rate and money market rates can be transmitted into the retail bank interest rate (e.g., deposit rate and loan rate), which can ultimately influence the opportunity costs of consumption and investment and hence the aggregate demand and output. Therefore, an efficient pass-through process is critical to the successful implementation of monetary policy.In this article, we investigate the mechanism of pass-through to a key retail interest rate, the mortgage rate. This issue has become particularly important *

show abstract

“…The information flow in the REIT network could be channelled through the US monetary policy and macroeconomic surprises (Marfatia et al, 2017). The international REIT market network can also be argued to be tied to the country's exchange rate regime, its degree of real economic and financial integration (Xu and Yang, 2011) and its market penetration (Marfatia et al, 2017). The other channel through which the international REIT markets are connected is global trade.…”

Section: Static Analysis For Full Samplementioning

confidence: 99%

Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis

Marfatia

Gupta

2018

The North American Journal of Economics and Finance

View full text Add to dashboard Cite

In this study, we unveil information spillover between international real estate markets using an entropy-based network approach for real estate investment trusts (REITs). Our novel approach is simple and yet flexible enough to accommodate the nature and extent of information spillover among several components of the global housing network. For a network of nine leading industrial economies, we unveil static and time-varying information spillover of REIT returns using total transfer entropy, pairwise net transfer entropy and directional ("From", "To") transfer entropy. Evidence suggests that the greatest pairwise transfer entropy is from the US to Australia, whereas France, the Netherlands, New Zealand and Singapore are the largest information recipients in the network. The time-varying evolution of total transfer entropy also exhibits a declining trend, supporting the decoupling hypothesis for the global housing market network. The extreme value analysis shows the changing role of US and UK housing markets.JEL Codes: R30, R33, G14.

show abstract

U.S. Monetary Policy Surprises and International Securitized Real Estate Markets

Abstract: Monetary policy, FOMC statements, Asymmetry, Securitized real estate markets, Two-factor empirical specification, G14, E44, E52,

Cited by 17 publications

References 31 publications

Comovement of international real estate securities returns: a wavelet analysis

Comovement of international real estate securities returns: a wavelet analysis

U.S. Monetary Policy Surprises and Mortgage Rates

Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis

Contact Info

Product

Resources

About