Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock

Kuang-Liang Chang, Nan-Kuang Chen () and Charles Leung

MPRA Paper from University Library of Munich, Germany

Abstract: This paper confirms that a regime-switching model out-performs a linear VAR model in terms of understanding the system dynamics of asset returns. Impulse responses of REIT returns to either the federal funds rate or the interest rate spread are much larger initially but less persistent. Furthermore, the term structure acts as an amplifier of the impulse response for REIT return, a stabilizer for the housing counterpart under some regime, and, perhaps surprisingly, almost no role for the stock return. In contrast, GDP growth has very marginal effect in the impulse response for all assets.

Keywords: monetary policy; yield curve; REITs; house prices; Markov Regime Switching (search for similar items in EconPapers)
JEL-codes: E40 G10 R21 R33 (search for similar items in EconPapers)
Date: 2009-09
New Economics Papers: this item is included in nep-mon and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:23514

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