Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study

Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slope and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to inte...

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Veröffentlicht in:The journal of real estate finance and economics 2015-11, Vol.51 (4), p.503-540
Hauptverfasser: Akimov, Alexey, Stevenson, Simon, Zagonov, Maxim
Format: Artikel
Sprache:eng
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