The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit commitments as banks were restoring their balance sheets during the 2007-2009 financial crisis. Employing generalized autoregressive conditional heteroscedasticity (GARCH)...

The recent crisis has demonstrated the linkages between asset classes within a country as well as the association between assets internationally. We provide for a better understanding of some of these linkages by conducting an empirical investigation of the channels underlying the risk of...