U.S. Monetary Policy Surprises and International Securitized Real Estate Markets

46 Pages Posted: 18 Oct 2009

See all articles by Tracy Xu

Tracy Xu

University of Denver

Jian Yang

University of Colorado at Denver - Business School

Multiple version iconThere are 2 versions of this paper

Date Written: October 16, 2009

Abstract

This paper examines the impact of U.S. monetary policy surprises on securitized real estate markets in 18 countries. The policy surprises are measured by both the surprise changes to the target federal funds rate (the target factor) and surprises in the future direction of the Federal Reserve monetary policy (the path factor). The results show that most international securitized real estate markets have significantly positive responses to surprise decrease in current or future expected federal funds rates, though such responses vary greatly across countries. Also, while the U.S. securitized real estate market reacts mainly to the target factor, foreign securitized real estate markets react to the path factor. Furthermore, we find that the cross-country variation in the response to the target factor is correlated with the country’s exchange rate regime and its degree of real economic and particularly financial integration, while the cross-country variation in the response to the path factor is mainly related to the country’s degree of financial integration.

Keywords: monetary policy, FOMC statements, asymmetry, securitized real estate markets, two-factor empirical specification

JEL Classification: G14, E44, E52

Suggested Citation

Xu, Tracy and Yang, Jian, U.S. Monetary Policy Surprises and International Securitized Real Estate Markets (October 16, 2009). Journal of Real Estate Finance and Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1490350

Tracy Xu

University of Denver ( email )

2201 S. Gaylord St
Denver, CO 80208-2685
United States

Jian Yang (Contact Author)

University of Colorado at Denver - Business School ( email )

1250 14th St.
Denver, CO 80204
United States

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