The Journal of Real Estate Finance and Economics

, Volume 43, Issue 4, pp 459–490 | Cite as

U.S. Monetary Policy Surprises and International Securitized Real Estate Markets

  • Pisun Xu
  • Jian Yang


This paper examines the impact of U.S. monetary policy surprises on securitized real estate markets in 18 countries. The policy surprises are measured by both the surprise changes to the target federal funds rate (the target factor) and surprises in the future direction of the Federal Reserve monetary policy (the path factor). The results show that most international securitized real estate markets have significantly positive responses to surprise decrease in current or future expected federal funds rates, though such responses vary greatly across countries. Also, while the U.S. securitized real estate market reacts mainly to the target factor, foreign securitized real estate markets react to the path factor. Furthermore, we find that the cross-country variation in the response to the target factor is correlated with the country’s exchange rate regime and its degree of real economic and particularly financial integration, while the cross-country variation in the response to the path factor is mainly related to the country’s degree of financial integration.


Monetary policy FOMC statements Asymmetry Securitized real estate markets Two-factor empirical specification 

JEL Classifications

G14 E44 E52 



We thank Refet Gurkaynak for kindly providing some data used in this study, Tao Wang and particularly an anonymous referee for many helpful comments.


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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  1. 1.The Business SchoolUniversity of Colorado DenverDenverUSA
  2. 2.Reiman School of FinanceUniversity of DenverDenverUSA

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