美国房地产和金融资产在时域和频域的溢出效应

IF 1.6 Q3 BUSINESS, FINANCE
A. Tiwari, C. André, Rangan Gupta
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引用次数: 12

摘要

无论是实物房地产还是证券化房地产,都为投资者提供了宝贵的多元化机会。然而,溢出效应降低了投资组合多样化的好处,尤其是在危机时期,资产回报往往更具相关性。本文在时域中使用Diebold Yilmaz(DY)(2012)方法,在频域中使用Barunik-Křehlik(BK)(2018)方法,评估了美国住宅房地产、房地产投资信托基金(REITs)、股票和债券回报之间的溢出强度和时间变化。平均而言,住房、股票和债券回报之间的溢出效应相对较小,股票和债券市场的冲击对住房回报的影响大于其他方面,尽管次贷危机后住房对其他资产的净溢出效应激增。房地产投资信托基金和股票之间在两个方向上的溢出比房地产投资基金和住房之间的溢出要强烈得多。频域分析强调了房地产市场冲击的持续影响,特别是在次贷危机之后。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Spillovers between US real estate and financial assets in time and frequency domains
Real estate, either in physical or securitised form, provides valuable diversification opportunities to investors. However, spillovers reduce the benefits of portfolio diversification, especially in times of crisis, when asset returns tend to be more correlated. This paper assesses the strength and time variation of spillovers between returns on residential real estate, real estate investment trusts (REITs), stocks and bonds in the United States, using the Diebold-Yilmaz (DY) (2012) approach in the time domain and the Barunik-Křehlik (BK) (2018) methodology in the frequency domain. On average, spillovers between housing, stock and bond returns are relatively modest and shocks to stock and bond markets affect housing returns more than the other way round, even though net spillovers from housing to other assets spiked in the aftermath of the subprime crisis. Spillovers in both directions are much stronger between REITs and stocks than between REITs and housing. The analysis in the frequency domain highlights the persistence of effects from shocks originating in the housing market, particularly in the aftermath of the subprime crisis.
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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