How Does the Yield Curve Influences Real Estate Markets and Vice Versa?

• Autores: Carles Vergara
• Localización: Moneda y crédito, ISSN 0026-959X, Nº 234, 2012, págs. 97-129
• Idioma: inglés
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• Resumen

  • The implicit information about discounting and about macroeconomic variables embedded in the term structure of interest rates can be used to extract the links between yield curve factors and real estate performance and the slope of the yield curve Granger-cause the short rate with 1 quarter lag to 4 quarters lag. I also find that the real estate returns and the short rate cause the slope of the ield curve with 1 quarter lag to 4 quarters lag. However, the short rate and the slope do not cause real state returns with 1 quarter lag. If I include 4 lags (4 quarters) to account for the seasonality of real estate markets, then the short rate and the slope of the yield curve Granger-cause real estate returns. The empirical analysis also documents the predictability of the NCREIF Property Index with values of R2 above 0.55