Real estate as a dynamic risk in the financial sector: New international evidence using wavelet quantile correlation

Alain Coen, Aya Nasreddine, Aurelie Desfleurs and Yasmine Essafi Zouari

ERES from European Real Estate Society (ERES)

Abstract: This article analyzes the role of real estate risks in the dynamics of financial sector stock returns for a sample of 14 countries: Asia and Oceania (Australia, Hong Kong, Japan, and Singapore), Europe (Belgium, France, Italy, Netherlands, Sweden, Switzerland and the U.K.) and North America (Canada and the USA). Real estate risk measures are drawn from the FTSE/EPRA NAREIT indexes. The period includes the last twenty years running from February 2005 to December 2024 on a daily and a monthly basis. The wavelet quantile correlation (WQC) methodology is implemented to highlight the impact of domestic and U.S. real estate risks. The WQC allows us to deal with time-varying characteristics of time series and to capture tail dependence. Besides, it has the advantage of dissolving the correlation structure between returns across different timescales. Our results report that the response to real estate risk pressures varies significantly depending on the financial sector, the investment horizon, and the origin of the real estate risk. The dynamic dimensions of the domestic and U.S. real estate risks during a long period, marked by significant crises including the Global financial crisis and the COVID-19 pandemic, are heterogeneous in the international financial sector, with potential implications for investment managers and policymakers.

Keywords: Financial sector; Real Estate Risk; REITs; Wavelet quantile correlation (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2025-01-01
New Economics Papers: this item is included in nep-rmg and nep-ure
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2025-184 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2025_184

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().