On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures

In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and volatility connectedness measures to better understand systemic risk and the transmission of shocks across REIT markets. Our findings show that that REIT market interdependence is dynamic and increases significantly during times of heightened uncertainty, including the COVID-19 pandemic. We also find that the US REIT market along with major European REITs are generally sources of shocks to Asian-Pacific REIT markets. Furthermore, US REITs appear to dominate European REITs. These findings highlight that portfolio diversification opportunities decline during times of market uncertainty.     

中国外汇市场压力指数与货币政策关联性——基于TVP-VAR方法的实证分析

为了正确评估中国外汇市场运行状况,本文首次选取有效汇率、外汇储备、中外利差和汇率预期,并首次使用GIRF方法构建中国EMPI。本文考虑经济数据发生结构突变的可能性,引入TVP-VAR方法研究EMPI与货币政策关联性,实证结果表明:2005年7月至2011年1月,人民币升值压力的月份居多;2011年2月至2015年12月,人民币贬值压力的月份居多;经济增长、国内信贷均与EMPI有相互引导的关系,且在不同时期会有所差异。此外,TVP-VAR方法的实证结果通过了稳健性检验。