Impact of financial stress on the REIT market stability

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2025-04-15 DOI:10.1016/j.iref.2025.104114

Oguzhan Ozcelebi , Seong-Min Yoon

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Abstract

We are aware of real estate prices collapsing during the global financial crisis when financial stress was severe. However, the relationship between financial stress and Real Estate Investment Trusts (REIT) market fluctuation has not been sufficiently investigated. This study aims to uncover whether changes in financial stress have significant, asymmetric, and nonlinear impacts on the volatility in REIT returns in time horizons and lead to stabilizing/destabilizing outcomes in the REIT market. We examined the impact of U.S. financial stress as a proxy for global financial stress on the volatility of REIT returns in the short-, medium-, and long-term, considering the role of asymmetry and regime changes. We found that rising global financial stress disrupts financial stability in the REIT market. We also showed that the impact of increases and decreases in financial stress is larger than the impact of the role of regimes regarding the REIT market's long-term volatility. This finding is important for policymakers regulating real estate markets and financial market investors managing risk in their portfolios, as the transmission of global financial stress is highly dominant.

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资金压力对房地产投资信托基金市场稳定的影响

我们知道，在全球金融危机期间，当金融压力严重时，房地产价格暴跌。然而，金融压力与房地产投资信托基金（REIT）市场波动之间的关系尚未得到充分的研究。本研究旨在揭示金融压力的变化是否对REIT回报在时间范围内的波动性具有显著的、不对称的和非线性的影响，并导致REIT市场的稳定/不稳定结果。考虑到不对称和制度变化的作用，我们研究了美国金融压力作为全球金融压力对REIT短期、中期和长期回报波动性的影响。我们发现，不断上升的全球金融压力破坏了房地产投资信托基金市场的金融稳定。我们还发现，金融压力的增加和减少对房地产投资信托基金市场长期波动的影响大于制度作用的影响。这一发现对于监管房地产市场的政策制定者和管理其投资组合风险的金融市场投资者很重要，因为全球金融压力的传播是高度主导的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.