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Low‐frequency volatility of real estate securities and macroeconomic risk

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  • Chyi Lin Lee
  • Simon Stevenson
  • Ming‐Long Lee

Abstract

Real estate securities have distinct characteristics that differentiate them from stocks generally. Key amongst them is that underpinning the firms are both real and investment assets. Therefore, the connections between the underlying macroeconomy and listed real estate firms are of heightened importance. To consider the linkages with macroeconomic fundamentals, we extract the ‘low‐frequency’ volatility component from aggregate volatility shocks in 11 international securitised real estate markets using Engle and Rangel's (2008) Spline‐GARCH model. The analysis reveals that the low‐frequency volatility of real estate securities has strong and positive association with most of the macroeconomic risk proxies examined. Differences between real estate securities and common stocks have also been identified.

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  • Chyi Lin Lee & Simon Stevenson & Ming‐Long Lee, 2018. "Low‐frequency volatility of real estate securities and macroeconomic risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 311-342, November.
    • Handle: RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342
    DOI: 10.1111/acfi.12288
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