The Journal of Real Estate Finance and Economics

, Volume 51, Issue 4, pp 503–540 | Cite as

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

  • Alexey Akimov
  • Simon Stevenson
  • Maxim Zagonov


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 interest rates and highlight the importance of considering the entire term structure of interest rates. One issue that is of particular of interest is that despite the 2007–09 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although we examine a range of markets the empirical analysis is unable to provide definitive evidence as to whether REIT and property-company markets display heightened or reduced exposure.


Securitised real estate Interest rate risk Yield curve modeling 



We thank Joseph Ooi, Peter Byrne, an anonymous referee, participants at the 2012 Eastern Finance Association Annual Meeting, and seminar participants at the University of Reading and Lancaster University Management School for the helpful comments which have substantially improved the paper.


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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.Department of Accounting & FinanceLancaster University Management SchoolLancasterUK
  2. 2.Henley Business School, University of ReadingReadingUK
  3. 3.Toulouse Business SchoolUniversity of ToulouseToulouseFrance

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