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Interconnectedness And Contagion In International Real Estate Investment Trusts
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Book Synopsis Interconnectedness and Contagion in International Real Estate Investment Trusts by : Kim Hiang Liow
Download or read book Interconnectedness and Contagion in International Real Estate Investment Trusts written by Kim Hiang Liow and published by . This book was released on 2017 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates interconnectedness and contagion effects of the US global financial crisis and the European debt crisis across eight longest-established real estate investment trust markets in the US, Canada, Australia, Japan, Singapore, France, Belgium and Netherlands over the period from October 2003 to December 2016. Using the connectedness indexes developed by Diebold and Yilmaz (2012, 2014 and 2016) and supplementing with selected net directional pairwise network graphs, we find their volatility connectedness was less strong than that of stock markets. Additionally, the volatility connectedness experienced a decrease of over 10% over the full sample period, implying that their slower globalization progress and lower financial integration level, as well as have different patterns of volatility connectedness from the corresponding stock markets. Volatility market connectedness was mainly caused by the cross-market contagion during unstable periods. The rolling sample analysis confirms significant market contagion effects during crises, such as Lehman Brothers Bankruptcy (GFC) and looming financial crisis in Europe (EDC), though the effects varied widely among the REIT markets. Finally, the net directional connectedness was time varying and experienced a shit in terms of net volatility shock transmitters and receivers for the markets due to different nature of crises. Our study reveals fresh evidence of interconnectedness and contagion effects across international REIT markets and indicate the importance of policy countermeasure in reacting to economic and financial crisis.
Book Synopsis The Impact of Contagion In Real Estate Markets by : Dersim Avdar
Download or read book The Impact of Contagion In Real Estate Markets written by Dersim Avdar and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper researches spatial contagion in the US real estate market. Its goal is to determine whether two portfolios containing different real estate investment trusts (REIT) behaved differently during the financial crisis, in a period going from 2007 to 2010. One portfolio is constituted of firms investing in concentrated regions, the other contains individually diversified REITs, and both portfolios cover the same regions on average, with a limitation to the US territory. To this end we perform a spatial regression followed by a t-test. The results of our empirical analyses show no significant difference in both portfolios during our time frame, be it regarding the spatial components of their returns or the evolution of their returns along time. This supports the idea that diversification strategies across asset classes and regions became mostly irrelevant during the crisis.
Book Synopsis Interconnectedness and Contagion Analysis: A Practical Framework by : Mrs.Jana Bricco
Download or read book Interconnectedness and Contagion Analysis: A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
Book Synopsis Guide to Global Real Estate Investment Trusts by : Stefano Simontacchi
Download or read book Guide to Global Real Estate Investment Trusts written by Stefano Simontacchi and published by Kluwer Law International B.V.. This book was released on 2021-04-07 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global listed property sector has been characterized by a variety of noteworthy developments in recent times, the proliferation of real estate investment trust-type structures in countries around the world key among them. Despite an uncertain economic environment, REITs have proven their ability to promote institutional real estate investments in global financial markets. This highly practical book features a comprehensive analysis of both the legal and tax underpinnings of REIT-friendly legislation in a variety of the world’s most significant jurisdictions. With regard to the legal framework, the structure and functioning of a REIT is carefully investigated and explained. In terms of tax issues, the book focuses on such key issues as: REIT formation, operation and liquidation; mergers, acquisitions and dispositions; as well as planning for public and private REIT offerings and re-securitizations. REITs are inherently complex and their interplay with tax treaties further compounds the complexity. This highly accessible yet authoritative work is the perfect decision-making tool for any professional looking for perspective and guidance on the challenges and opportunities REITs engender.
Book Synopsis Speculative Bubbles, Financial Crises and Convergence in Global Real Estate Investment Trusts by : Roselyne Joyeux
Download or read book Speculative Bubbles, Financial Crises and Convergence in Global Real Estate Investment Trusts written by Roselyne Joyeux and published by . This book was released on 2013 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test for price bubbles in fourteen national REIT markets and examine the extent of convergence toward a common trend between the REITs of these countries. Our methodology consists of the recently developed test of Phillips, Shi and Yu (2012) for mildly explosive processes, and the Phillips and Sul (2007) method for modelling convergence between random variables. We find evidence of explosive behaviour in index levels of eleven of the fourteen markets. In contrast explosive dynamics are found in only four of the fourteen price/dividend ratios, suggesting that the explosive behaviours found may be due to the explosive nature of the dividends. All of the episodes of explosive behaviour, with the exception of Japan, are date-stamped to periods prior to the 2007-2009 financial crisis. Testing for convergence between the REIT indices and price/dividend ratios we find a number of periods over which the markets converge towards a common trend. Interestingly, all of the convergence intervals coincide with either periods of crises, or periods of market exuberance (bubbles). For instance, the crises periods correspond with the 2000 dot-com crash, the 2007-2009 crisis period and the 2010-2013 European sovereign debt crisis suggesting that increases in REIT comovements occur during intervals of financial turbulence, and lending support for the contagion hypothesis. The bubble periods of 2004-2005 are also associated with convergence towards a common trend in the EU markets.
Book Synopsis Real Estate Investment Trusts in Europe by : Ramón Sotelo
Download or read book Real Estate Investment Trusts in Europe written by Ramón Sotelo and published by Springer. This book was released on 2016-08-23 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shortly before of the beginning of the global financial crisis of 2008 REITs were introduced in several European countries based on their success in mature markets like the US, Australia and some Asian countries. While the history of REITs in Europe has been relatively brief, REITs are well on the way to become an industry standard as a real estate investment financial vehicle not only in Europe but throughout the developed world. This book provides both academics and decision makers an introduction to the economics of REITs beyond tax transparency, an overview of the mature REITs markets, and a closer reflection of the development of different REIT-structures in Europe including the history, regulation and markets of each country.
Book Synopsis Interconnectedness and Contagion Analysis: A Practical Framework by : Mrs.Jana Bricco
Download or read book Interconnectedness and Contagion Analysis: A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.
Book Synopsis Real Estate Investment in Global Financial Centers by : Colin M. Lizieri
Download or read book Real Estate Investment in Global Financial Centers written by Colin M. Lizieri and published by . This book was released on 2009 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Guide to Global Real Estate Investment Trusts 2012 by : Stefano Simontacchi
Download or read book Guide to Global Real Estate Investment Trusts 2012 written by Stefano Simontacchi and published by . This book was released on 2012 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Guide to Global Real Estate Investment Trusts will feature a comprehensive analysis of both the legal and tax underpinnings of REIT-friendly legislation in the world's most significant national jurisdictions. With regard to the legal framework, the structure and functioning of a REIT will be thoroughly investigated. In particular, the issue of whether a REIT is a special vehicle regulated as such by national legislation or, instead, any company vehicle may qualify as a real estate investment fund so long as its activity is limited to effecting and managing real estate investments - whether they are direct or indirect - will be addressed. Issues such as the amount of indebtedness, types of investments permitted, and the like will be carefully examined. In regard to European jurisdictions, the implications of the directives impacting Undertakings for the Collective Investment of Transferable Securities will be accorded particular consideration. In terms of tax issues, the work will focus inter alia on REIT formation, operation and liquidation; mergers, acquisitions and dispositions; as well as planning for public and private REIT offerings and re-securitizations.
Book Synopsis Risk Integration of Real Estate Investment Trusts Into Global Equity Markets by : Hermann Finkeldei
Download or read book Risk Integration of Real Estate Investment Trusts Into Global Equity Markets written by Hermann Finkeldei and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this thesis is to improve the understanding of the integration of Real Estate Investment Trusts into equity markets with respect to risk in the U.S. In particular, the thesis focuses on risk spillovers from equity into REIT markets and at the same time examines how these spillovers depend on the current state of the market, how spillover behaviour has changed over time and how this behaviour differs across different REIT types or sectors. This is addressed by applying an adjusted version of the State-Dependent Sensitivity Value-at-Risk approach of Adams, Füss and Gropp (2014). The approach makes it possible to analyse spillover behaviour during certain states of the market. Furthermore, rolling regression analysis is applied to assess how the spillover behaviour evolves over time and then to check if it is possible to observe any variation of these risk spillovers into REIT markets across time. Lastly, it is investigated how the spillover behaviour itself and its variations over time differ across various types, sectors or size categories of REITs and whether certain sectors are especially susceptible to risk spillovers. REIT vulnerability to equity risk spillovers was found to be highly dependent on the current state of the market with respect to risk. Spillover behaviour not only strongly varied over time, but also differed across different REIT types and sectors. Virtually all types and sectors suffered strong increases in equity risk spillover susceptibility during the financial crisis. With the exception of Mortgage REITs, however, the average spillover coefficients even in the post-crisis period remained at levels higher than pre-crisis averages. This study argues that category-based co-movements are likely to be a driver causing these increased risk spillovers even after the end of the financial crisis. Furthermore, MREITs, Small Cap REITs as well as the healthcare, residential and self-storage subsector.
Author :International Monetary Fund. Strategy, Policy, & Review Department Publisher :International Monetary Fund ISBN 13 :1498336752 Total Pages :45 pages Book Rating :4.4/5 (983 download)
Book Synopsis Understanding Financial Interconnectedness by : International Monetary Fund. Strategy, Policy, & Review Department
Download or read book Understanding Financial Interconnectedness written by International Monetary Fund. Strategy, Policy, & Review Department and published by International Monetary Fund. This book was released on 2010-04-10 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper seeks to advance our understanding of global financial interconnectedness by (i) mapping aspects of the architecture of global finance and (ii) investigating critical fault lines related to interconnectedness along which systemic risks were built up and shocks transmitted in the crisis. It thus takes initial steps toward operationalizing enhanced financial sector and macro-financial surveillance called for by the IMF’s Executive Board and by experts such as de Larosiere et al. (2009). Getting a better handle on interconnectedness would strengthen the Fund‘s ability, together with the Financial Stability Board, to track systemic risk concentrations. It would also inform spillover and vulnerability analyses, and sharpen bilateral and multilateral surveillance.
Book Synopsis Public Real Estate Markets and Investments by : H. Kent Baker
Download or read book Public Real Estate Markets and Investments written by H. Kent Baker and published by Oxford University Press. This book was released on 2014-08-07 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate is typically classified as an alternative to more traditional investments such as stocks and bonds. Real estate investing involves the purchase, ownership, management, rental, or sale of real estate for profit. Real estate investments can be both income producing and non-income producing. Although real estate can produce income like a bond and appreciate like a stock, this tangible asset has several unique characteristics as well as advantages and disadvantages relative to other investment alternatives. Benefits of including real estate in a portfolio include diversification, yield enhancement, risk reduction, tax management, and inflation hedging. Unlike traditional investments, investors in real estate have the ability to influence performance. Real estate has drawbacks in that it requires management, is costly and difficult to buy, sell, and operate, and sometimes has lower liquidity. Additionally, measuring the relative performance of real estate can be challenging. The purpose of this 14-chapter book is to provide an overview and synthesis of public real estate markets and investments in a global context. The book discusses the major types and the latest trends within public real estate markets and presents the results of research studies in a straightforward manner. It has three sections: (1) foundations of public real estate, (2) public debt markets and investments, and (3) public equity markets and investments. The book should be interest to various groups including academics, practitioners, investors, and students. Readers should gain a greater appreciation of what is needed for success when investing in public real estate markets. For more information about private real estate, read Private Real Estate Markets and Investments.
Book Synopsis Creating a Safer Financial System by : José Vinãls
Download or read book Creating a Safer Financial System written by José Vinãls and published by International Monetary Fund. This book was released on 2013-05-14 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S., the U.K., and more recently, the E.U., have proposed policy measures directly targeting complexity and business structures of banks. Unlike other, price-based reforms (e.g., Basel 3 and G-SIFI surcharges), these proposals have been developed unilaterally with material differences in scope, design and implementation schedules. This may exacerbate cross-border regulatory arbitrage and put a further burden on consolidated supervision and cross-border resolution. This paper provides an analysis of the potential implications of implementing different structural policy measures. It proposes a pragmatic and coordinated approach to development of these policies to reduce risk of regulatory arbitrage and minimize unintended consequences. In doing so, it also aims to identify a set of common policy measures that countries could adopt to re-scope bank business models and corporate structures.
Book Synopsis Towers of Capital by : Colin Lizieri
Download or read book Towers of Capital written by Colin Lizieri and published by Wiley-Blackwell. This book was released on 2009-07-07 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are global city office markets inherently unstable? This examination of office markets in major world cities analyses the flows of capital that create urban form, the nature of ownership, investment and occupation and the impact of office markets on economic stability. Towers of Capital – office markets & international financial services explores the relationship between the evolution of major international financial centres as part of the global capital market system, the development of office markets in those cities, real estate investment in those office markets and the patterns of risk and return that result from the interactions between financial flows and office markets. Rather than focusing on just one single aspect of the relationship, Colin Lizieri sets out the interconnections between the location of financial activity, the processes operating in office markets and the volatility of real estate returns. The resulting schematic model of IFC office markets provides insights into risk and will act as a springboard for subsequent empirical work. Towers of Capital develops a framework for understanding real estate and the transformation of the built environment in financial centres, based both on the development of global capital markets and on micro-level research into the functioning of office markets. By drawing together the insights, models and ideas that address global capital flows, the evolution of city systems, office market processes and real estate finance, the book will help students and researchers in property and urban planning, investors and policy advisors to understand the linkages between the evolution of financial markets, innovation in commercial real estate markets and the dynamics of the office markets in global cities.
Author :International Monetary Fund. Monetary and Capital Markets Department Publisher :International Monetary Fund ISBN 13 :1498321119 Total Pages :85 pages Book Rating :4.4/5 (983 download)
Book Synopsis Canada by : International Monetary Fund. Monetary and Capital Markets Department
Download or read book Canada written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2019-06-24 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Financial System Stability Assessment paper discusses that Canada has enjoyed favorable macroeconomic outcomes over the past decades, and its vibrant financial system continues to grow robustly. However, macrofinancial vulnerabilities—notably, elevated household debt and housing market imbalances—remain substantial, posing financial stability concerns. Various parts of the financial system are directly exposed to the housing market and/or linked through housing finance. The financial system would be able to manage severe macrofinancial shocks. Major deposit-taking institutions would remain resilient, but mortgage insurers would need additional capital in a severe adverse scenario. Housing finance is broadly resilient, notwithstanding some weaknesses in the small non-prime mortgage lending segment. Although banks’ overall capital buffers are adequate, additional required capital for mortgage exposures, along with measures to increase risk-based differentiation in mortgage pricing, would be desirable. This would help ensure adequate through-the cycle buffers, improve mortgage risk-pricing, and limit procyclical effects induced by housing market corrections.
Book Synopsis International Financial Contagion by : Stijn Claessens
Download or read book International Financial Contagion written by Stijn Claessens and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Author :International Monetary Fund. Monetary and Capital Markets Department Publisher :International Monetary Fund ISBN 13 : Total Pages :116 pages Book Rating :4.4/5 (2 download)
Book Synopsis Luxembourg by : International Monetary Fund. Monetary and Capital Markets Department
Download or read book Luxembourg written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2024-06-24 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Luxembourg financial system is highly interconnected, diverse and complex. It has displayed a high level of resilience in the past but currently faces a backdrop of heightened economic, financial, and geopolitical uncertainty. Investment funds have grown since the 2017 FSAP, while their connections to other funds, banks, nonbank financial intermediaries, and foreign entities have also increased. The domestic banks are exposed to the ongoing downturn in credit and house price cycles, especially in the high-risk mortgage segment with floating-rate loans. Securities portfolios in large banks are mostly held-to-maturity and spread across euro area issuers. Against the risks, the financial system maintains higher capital ratios than euro area peers, has low but rising nonperforming loans, and benefits from government support measures to the private sector from an AAA-rated sovereign.
