Revisiting currency swaps: hedging real estate investments in global city markets
Author
Abstract
Suggested Citation
DOI: 10.1108/JPIF-04-2017-0026
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- C.F. Sirmans & Elaine Worzala, 2003. "International Direct Real Estate Investment: A Review of the Literature," Urban Studies, Urban Studies Journal Limited, vol. 40(5-6), pages 1081-1114, May.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Pfnür, Andreas & Armonat, Stefan, 2013. "Modelling uncertain operational cash flows of real estate investments using simulations of stochastic processes," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 63593, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Brooks,Chris & Tsolacos,Sotiris, 2010. "Real Estate Modelling and Forecasting," Cambridge Books, Cambridge University Press, number 9780521873390.
- Charles‐Olivier Amédée‐Manesme & Fabrice Barthélémy & Michel Baroni & Etienne Dupuy, 2013.
"Combining Monte Carlo simulations and options to manage the risk of real estate portfolios,"
Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(4), pages 360-389, July.
- Michel Baroni & Fabrice Barthélémy & Etienne Dupuy, 2010. "Combining Monte-Carlo Simulations And Options To Manage Risk Of Real Estate Portfolios," ERES eres2010_288, European Real Estate Society (ERES).
- Charles-Olivier Amédée-Manesme & Michel Baroni & Fabrice Barthélémy & Etienne Dupuy, 2011. "Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios," Post-Print hal-00671067, HAL.
- Amédée-Manesme, Charles-Olivier & Baroni, Michel & Barthélémy, Fabrice & Dupuy, Etienne, 2012. "Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios," ESSEC Working Papers WP1115, ESSEC Research Center, ESSEC Business School.
- Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005.
"Empirical exchange rate models of the nineties: Are any fit to survive?,"
Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2005. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Working Papers 122005, Hong Kong Institute for Monetary Research.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series qt5fc508pt, Center for International Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie David & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt12z9x4c5, Department of Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt5fc508pt, Department of Economics, UC Santa Cruz.
- Yin-Wong Cheung & Antonio I Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," IMF Working Papers 2004/073, International Monetary Fund.
- Alan J. Ziobrowski & Brigitte J. Ziobrowski & Sidney Rosenberg, 1997. "Currency Swaps and International Real Estate Investment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 223-251, June.
- Robert Johnson & Colin Lizieri & Luc Soenen & Elaine M. Worzala, 2005. "Hedging Private International Real Estate," Real Estate & Planning Working Papers rep-wp2005-01, Henley Business School, University of Reading.
- Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series 126, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Eun, Cheol S & Resnick, Bruce G, 1988. " Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection," Journal of Finance, American Finance Association, vol. 43(1), pages 197-215, March.
- Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-218, March.
- Alan J. Ziobrowski & Brigitte J. Ziobrowski, 1993. "Hedging Foreign Investments in U.S. Real Estate with Currency Options," Journal of Real Estate Research, American Real Estate Society, vol. 8(1), pages 27-54.
- Franz Fuerst & George Matysiak, 2013. "Analysing the performance of nonlisted real estate funds: a panel data analysis," Applied Economics, Taylor & Francis Journals, vol. 45(14), pages 1777-1788, May.
- Jerry Dasso & Elaine Worzala, 1993. "An international real estate society?," ERES eres1993_124, European Real Estate Society (ERES).
- Barreto,Humberto & Howland,Frank, 2006. "Introductory Econometrics," Cambridge Books, Cambridge University Press, number 9780521843195.
- A Dales & R Meese, 2001. "Strategic currency hedging," Journal of Asset Management, Palgrave Macmillan, vol. 2(1), pages 9-21, June.
- David M. Steinberg & Dennis K. J. Lin, 2006. "A construction method for orthogonal Latin hypercube designs," Biometrika, Biometrika Trust, vol. 93(2), pages 279-288, June.
- Graeme Newell & James R. Webb, 1996. "Assessing Risk for International Real Estate Investments," Journal of Real Estate Research, American Real Estate Society, vol. 11(2), pages 103-116.
- Martin Hoesli & Kustrim Reka, 2013.
"Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets,"
The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
- Martin Hoesli & Kustrim Reka, 2011. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," ERES eres2011_63, European Real Estate Society (ERES).
- Stephan Lang & Alexander Scholz, 2015. "The diverging role of the systematic risk factors: evidence from real estate stock markets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 33(1), pages 81-106, February.
- Soenen, Luc A. & Lindvall, John R., 1992. "Benefits from diversification and currency hedging of international equity investments: different countries' viewpoints," Global Finance Journal, Elsevier, vol. 3(2), pages 145-158.
- Rahul Srivatsa & Stephen L. Lee, 2012. "European real estate market convergence," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(5), pages 458-472, August.
- Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2004. "New International Evidence on Real Estate as a Portfolio Diversifier," Journal of Real Estate Research, American Real Estate Society, vol. 26(2), pages 161-206.
- Simon Stevenson, 2000. "International Real Estate Diversification: Empirical Tests using Hedged Indices," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 105-131.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Addae-Dapaah, Kwame & Tan Yong Hwee, Wilfred, 2009. "The unsung impact of currency risk on the performance of international real property investment," Review of Financial Economics, Elsevier, vol. 18(1), pages 56-65, January.
- John Gallo & Ying Zhang, 2010. "Global Property Market Diversification," The Journal of Real Estate Finance and Economics, Springer, vol. 41(4), pages 458-485, November.
- Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series 126, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Robert Johnson & Colin Lizieri & Luc Soenen & Elaine M. Worzala, 2005. "Hedging Private International Real Estate," Real Estate & Planning Working Papers rep-wp2005-01, Henley Business School, University of Reading.
- Kwame Addae‐Dapaah & Wilfred Tan Yong Hwee, 2009. "The unsung impact of currency risk on the performance of international real property investment," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 56-65, January.
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2018.
"On The Sources Of Uncertainty In Exchange Rate Predictability,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(1), pages 329-357, February.
- Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," SIRE Discussion Papers 2015-24, Scottish Institute for Research in Economics (SIRE).
- Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," MPRA Paper 58956, University Library of Munich, Germany.
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," Working Papers 2014_16, Business School - Economics, University of Glasgow.
- Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
- Chou, Yu-Hsi, 2018. "Understanding the sources of the exchange rate disconnect puzzle: A variance decomposition approach," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 267-287.
- Simon Stevenson, 2016. "Macro-Economic and Financial Determinants of Comovement across Global Real Estate Security Markets," Journal of Real Estate Research, American Real Estate Society, vol. 38(4), pages 595-624.
- Ince, Onur & Molodtsova, Tanya & Papell, David H., 2016.
"Taylor rule deviations and out-of-sample exchange rate predictability,"
Journal of International Money and Finance, Elsevier, vol. 69(C), pages 22-44.
- Onur Ince & Tanya Molodtsova & David H. Papell, 2015. "Taylor Rule Deviations and Out-of-Sample Exchange Rate Predictability," Working Papers 15-02, Department of Economics, Appalachian State University.
- Cumperayot, Phornchanok & Kouwenberg, Roy, 2021.
"The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates,"
International Economics, Elsevier, vol. 166(C), pages 167-176.
- Phornchanok Cumperayot & Roy Kouwenberg, 2021. "The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates," International Economics, CEPII research center, issue 166, pages 167-176.
- Halil I. Memis & Steffen Sebastian, 2020. "Währungsabsicherung bei Immobilienaktien außerhalb des Euroraums [Currency hedging for real estate investments outside the Eurozone]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 47-63, April.
- Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016.
"Exchange rate predictability in a changing world,"
Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
- Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
- Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
- Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
- Wen-Chi Liao & Daxuan Zhao & Li Ping Lim & Grace Khei Mie Wong, 2015. "Foreign liquidity to real estate market: Ripple effect and housing price dynamics," Urban Studies, Urban Studies Journal Limited, vol. 52(1), pages 138-158, January.
- Foort Hamelink & Martin Hoesli, 2004.
"What Factors Determine International Real Estate Security Returns?,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(3), pages 437-462, September.
- Hamelink, Foort & Hoesli, Martin, 2002. "What Factors Determine International Real Estate Security Returns?," SIFR Research Report Series 7, Institute for Financial Research.
- Foort HAMELINK & Martin HOESLI, 2003. "What Factors Determine International Real Estate Security Returns?," FAME Research Paper Series rp50, International Center for Financial Asset Management and Engineering.
- Foort Hamelink & Martin Hoesli, 2002. "What Factors Determine International Real Estate Security Returns?," ERES eres2002_196, European Real Estate Society (ERES).
- Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011.
"Can oil prices forecast exchange rates?,"
Working Papers
11-34, Federal Reserve Bank of Philadelphia.
- Domenico Ferraro & Kenneth Rogoff & Barbara Rossi, 2015. "Can Oil Prices Forecast Exchange Rates?," Working Papers 803, Barcelona School of Economics.
- Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Economics Working Papers 1461, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2015.
- Rogoff, Kenneth & Rossi, Barbara & Ferraro, Domenico, 2011. "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers 8635, C.E.P.R. Discussion Papers.
- Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2012. "Can Oil Prices Forecast Exchange Rates?," NBER Working Papers 17998, National Bureau of Economic Research, Inc.
- Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011. "Can Oil Prices Forecast Exchange Rates?," Working Papers 11-05, Duke University, Department of Economics.
- Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan & Xu, Qi, 2022.
"Currency volatility and global technological innovation,"
Journal of International Economics, Elsevier, vol. 137(C).
- Taylor, Mark & Hsu, Po-Hsuan & Wang, Zigan & Xu, Qi, 2021. "Currency Volatility and Global Technological Innovation," CEPR Discussion Papers 16611, C.E.P.R. Discussion Papers.
- David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
- Yuchen Zhang & Shigeyuki Hamori, 2020. "The Predictability of the Exchange Rate When Combining Machine Learning and Fundamental Models," JRFM, MDPI, vol. 13(3), pages 1-16, March.
- Ponomareva, Natalia & Sheen, Jeffrey & Wang, Ben Zhe, 2019. "Forecasting exchange rates using principal components," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
More about this item
Keywords
International investment; Market uncertainty; Exchange rate risk; Currency swaps; Global market; Office markets;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jpifpp:jpif-04-2017-0026. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.