caa a22 4500 445316519 CHVBK 20180317142649.0 cr unu---uuuuu 170323e20110701xx s 000 0 eng 10.1007/s11146-010-9241-8 doi (NATIONALLICENCE)springer-10.1007/s11146-010-9241-8 Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock [Elektronische Daten] [Kuang-Liang Chang, Nan-Kuang Chen, Charles Leung] This paper confirms that a regime-switching model out-performs a linear VAR model in terms of understanding the system dynamics of asset returns. Impulse responses of REIT returns to either the federal funds rate or the interest rate spread are much larger initially but less persistent. Furthermore, the term structure acts as an amplifier of the impulse response for REIT return, a stabilizer for the housing counterpart under some regime, and, perhaps surprisingly, almost no role for the stock return. In contrast, GDP growth has very marginal effect in the impulse response for all assets. Springer Science+Business Media, LLC, 2010 Monetary policy nationallicence Term structure nationallicence REITs nationallicence House prices nationallicence Regime-dependent nationallicence Yield curve nationallicence Markov regime switching nationallicence Chang Kuang-Liang Department of Applied Economics, National Chiayi University, 580 Sinmin Road, 60054, Chiayi City, Taiwan aut Chen Nan-Kuang Department of Economics, National Taiwan University, 21 Shuchow Road, 10021, Taipei, Taiwan aut Leung Charles Department of Economics and Finance, City University of Hong Kong, Kowloon Tong, Hong Kong, China aut The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 43/1-2(2011-07-01), 221-257 0895-5638 43:1-2<221 2011 43 11146 https://doi.org/10.1007/s11146-010-9241-8 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11146-010-9241-8 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Chang Kuang-Liang Department of Applied Economics, National Chiayi University, 580 Sinmin Road, 60054, Chiayi City, Taiwan aut NATIONALLICENCE 700 1- Chen Nan-Kuang Department of Economics, National Taiwan University, 21 Shuchow Road, 10021, Taipei, Taiwan aut NATIONALLICENCE 700 1- Leung Charles Department of Economics and Finance, City University of Hong Kong, Kowloon Tong, Hong Kong, China aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 43/1-2(2011-07-01), 221-257 0895-5638 43:1-2<221 2011 43 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer