Chang, Kuang-Liang; Chen, Nan-Kuang; Leung, Charles Ka Yui - Volkswirtschaftliche Fakultät, … - 2009
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....