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Article
Publication date: 14 February 2019

Olayiwola Oladiran, Anupam Nanda and Stanimira Milcheva

This study aims to examine the housing outcomes of natives and multiple generations of non-natives using a longitudinal survey data in Britain.

316

Abstract

Purpose

This study aims to examine the housing outcomes of natives and multiple generations of non-natives using a longitudinal survey data in Britain.

Design/methodology/approach

The authors use longitudinal data from Britain, in which they can observe multiple generations of immigrants and their demographic and economic information.

Findings

The probability models for housing tenure reveal significant variation in the outcomes which are robust to several econometric specifications.

Research limitations/implications

As migration and its impact on local economy is a highly debated topic across several major regions of the world, the findings bring out important insights with policy implications. The research is limited by the sample size of the longitudinal survey.

Originality/value

The empirical evidence on the topic is quite limited with mixed findings. Especially, the authors’ ability to look through multiple generations is unique in identifying the variation in housing outcomes for the native and non-native citizens.

Details

International Journal of Housing Markets and Analysis, vol. 12 no. 2
Type: Research Article
ISSN: 1753-8270

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Article
Publication date: 3 May 2016

Stanimira Milcheva and Steffen Sebastian

The purpose of this paper is to explore the role of the housing market in the monetary policy transmission to consumption among euro area member states. It has been argued that…

637

Abstract

Purpose

The purpose of this paper is to explore the role of the housing market in the monetary policy transmission to consumption among euro area member states. It has been argued that the housing market in one country is then important when its mortgage market is well developed. The countries in the euro area follow unitary monetary policy; however, their housing and mortgage markets show some heterogeneity, which may lead to different policy effects on aggregate consumption through the housing market.

Design/methodology/approach

The housing market can act as a channel of monetary policy shocks to household consumption through changes in house prices and residential investment – the housing market channel. The authors estimate vector autoregressive models for each country and conduct a counterfactual analysis to disentangle the housing market channel and assess its importance across the euro area member states.

Findings

The authors find little evidence for heterogeneity of the monetary policy transmission through house prices across the euro area countries. Housing market variations in the euro area seem to be better captured by changes in residential investment rather than by changes in house prices. As a result, the authors do not find significantly large house price channels. For some of the countries however, they observe a monetary policy channel through residential investment. The existence of a housing channel may depend on institutional features of both the labour market or with institutional factors capturing the degree of household debt as is the loan-to-value ratio.

Originality/value

The study contributes to the existing literature by assessing whether a unitary monetary policy has a different impact on consumption across the euro area countries through their housing and mortgage markets. The authors disentangle monetary-policy-induced effects on consumption associated with variations on the housing markets due to either house price variations or residential investment changes. The authors show that the housing market can play a role in the monetary transmission mechanism even in countries with less developed mortgage markets through variations in residential investment.

Details

Journal of European Real Estate Research, vol. 9 no. 1
Type: Research Article
ISSN: 1753-9269

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Article
Publication date: 3 May 2016

Paloma Taltavull de La Paz

651

Abstract

Details

Journal of European Real Estate Research, vol. 9 no. 1
Type: Research Article
ISSN: 1753-9269

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Article
Publication date: 9 January 2023

Muhammad Zaim Razak

This study examined the dynamic role of the Japanese property sector, particularly the real estate investment trusts (REITs), in mixed-asset portfolios of stocks and bonds, as…

228

Abstract

Purpose

This study examined the dynamic role of the Japanese property sector, particularly the real estate investment trusts (REITs), in mixed-asset portfolios of stocks and bonds, as well as office, retail, hotel and residential REITs.

Design/methodology/approach

Daily data were retrieved from 01 January 2008 to 31 December 2019. The sample time frame consisted of in-sample and out-of-sample periods. The dynamic conditional correlation-generalised autoregressive conditional heteroskedastic (DCC-GJRGARCH) model was deployed to obtain the forecast estimates of time-varying volatility of REITs and correlations with other assets. The estimates were employed to construct out-of-sample portfolios based on the three assets for daily investment. The five sets of portfolios with each individual property sector REITs, as well as a portfolio of stocks and bonds that served as a benchmark, were produced. The average utility for each set of portfolios was estimated and compared with the average utility of the benchmark portfolio. The average transaction cost (TC) for portfolio rebalancing was calculated as well.

Findings

The forecast of volatility estimates for each property sector revealed that each asset displayed a similar pattern with the differences in the volatility magnitude. Notably, hotel and retail REITs were more volatile than other property sector REITs. The property sector REITs exhibited a positive correlation with stocks but negatively linked with bonds. The results unveiled the diversification benefits of incorporating property sector REITs. The portfolio with property sector REITs had higher risk-adjusted returns and utility, compared to portfolio consisting of stocks and bonds. The benefits outweighed the TC for portfolio rebalancing.

Practical implications

This study highlights the importance of quantifying the conditional time-varying volatility and correlations of the property sector REITs with other asset returns, especially for investment decision, to select and include property sector REITs in mixed-asset portfolios. For fund managers seeking liquid assets in daily investment, this analysis suggests the inclusion of hotel and retail REITs to enhance REITs' portfolio performance.

Originality/value

This study is the first to investigate the dynamic characteristics of the volatility and correlation of each property sector REITs with other financial assets by employing the conditional framework that accounted for short- and long-run persistency in economic shocks. The reported outcomes shed light on the differences in the underlying properties that contribute to the variances in dynamic volatility of each sector REITs, as well as REITs' correlations with stocks and bonds. This application enables the authors to transmit the dynamics of variance-covariance matrix amongst each property sector REITs, stocks and bonds into asset allocation problem on a daily basis.

Details

Journal of Property Investment & Finance, vol. 41 no. 2
Type: Research Article
ISSN: 1463-578X

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