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- W2009164042 abstract "Based on the theoretical framework of financial amplification, this study is set up to investigate the dynamic effects of financial stress on the performance of the U.S. real estate market proxied by Real Estate Investment Trust (REIT) returns in the United States using vector autoregressive (VAR) analysis. Based on the analysis of monthly REIT returns and the monthly changes in the Federal Reserve Bank of St. Louis Financial Stress Index spanning 1994-2011, the response of returns on the CRSP Ziman REIT Indexes and Sub Indexes becomes negative immediately for the first few months following the spike in financial stress. The Granger-causality test is also performed to assess if financial stress causes the REIT returns to drop. The variance decomposition is also conducted to determine the relative importance of the returns on the overall stock market and financial stress in explaining returns on the CRSP Ziman REIT Indexes and Sub Indexes." @default.
- W2009164042 created "2016-06-24" @default.
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- W2009164042 date "2013-01-01" @default.
- W2009164042 modified "2023-09-27" @default.
- W2009164042 title "Dynamic Effects of Financial Stress on the U.S. Real Estate Market Performance" @default.
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- W2009164042 doi "https://doi.org/10.2139/ssrn.2196251" @default.
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