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In this paper, we investigate whether monetary policy has asymmetric effects on U.S. equity REIT returns by using Markov-switching models. We adopt a number of measures of monetary policy. We find substantial regime switching in the response to a monetary policy action that corresponds to "boom"...
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In this paper, we investigate the dynamic link between the scarcity of housing collateral and economic recessions in the US. At first, we use vector error-correction models to identify negative transitory shocks to collateralizable housing wealth, which are used as proxies of housing collateral...
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