Threshold Effects in the Relationships of REITs and other Financial Securities in Developed Countries
學年 103
學期 2
出版（發表）日期 2015-05-30
作品名稱 Threshold Effects in the Relationships of REITs and other Financial Securities in Developed Countries
作品名稱（其他語言）
著者 李沃牆; 林惠娜
單位
出版者
著錄名稱、卷期、頁數 Asian Economic and Financial Review 5(3), p.426-438
摘要 We use a Panel Smooth Transition Regression model (PSTR) to investigate the nonlinear dynamic relationship between financial variables and REITs of Japan and US with 3-month interest rate change as threshold variable. We discuss the relationship between explained variable of REITs return and explanatory variables (10 year bond interest rate, real estate return and stock return) within two regimes. Empirical results show that the transition function is an exponential type with region one, and two regimes. In regime 1, the relationships between REITs return and two explanatory variables (10-year bond interest rate change and real estate return) are significantly positive. The relationship between REITs return and stock return is significantly negative. In regime 2, the relationships between REITs return and two explanatory variables (real estate return and stock return) are significantly positive. REITs act as hedges against stock market downturn when the magnitude of 3-month interest rate reduces greater than 0.9886%. In the low interest rate change regime, the REITs behave more like fix income and real estate than risky stock. In the high interest rate change regime, REITs behave more like stock and real estate than fix income.
關鍵字 REITs;Panel smooth transition regression model;Threshold;Regime;Dynamic relationship;Hedgy;Real estate
語言 en
ISSN 2305-2147
期刊性質 國外
收錄於
產學合作
通訊作者 Lin,Hui na
審稿制度 是
國別 PAK
公開徵稿
出版型式 ,電子版,紙本
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