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 Journal of Property Investment & Finance Pub Date : 2020-04-09 DOI:10.1108/JPIF-08-2019-0110
A. Tiwari, C. André, Rangan Gupta
{"title":"美国房地产和金融资产在时域和频域的溢出效应","authors":"A. Tiwari, C. André, Rangan Gupta","doi":"10.1108/JPIF-08-2019-0110","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.6000,"publicationDate":"2020-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1108/JPIF-08-2019-0110","citationCount":"12","resultStr":"{\"title\":\"Spillovers between US real estate and financial assets in time and frequency domains\",\"authors\":\"A. Tiwari, C. André, Rangan Gupta\",\"doi\":\"10.1108/JPIF-08-2019-0110\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":46429,\"journal\":{\"name\":\"Journal of Property Investment & Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.6000,\"publicationDate\":\"2020-04-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1108/JPIF-08-2019-0110\",\"citationCount\":\"12\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Property Investment & Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/JPIF-08-2019-0110\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Property Investment & Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/JPIF-08-2019-0110","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
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
期刊最新文献
Client influence or the valuer's behavior? An empirical study of listed companies' valuation in Taiwan The influence mechanism of real estate enterprises' status on debt default risk Exploring the predictive power of ANN and traditional regression models in real estate pricing: evidence from Prishtina Real Estate Insights Back to the basics of sustainability The role of multi-family properties in hedging pension liability risk: long-run evidence
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1