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A Multi-Factor Analysis Of Areit Returns, Jaime L.P. Yong
A Multi-Factor Analysis Of Areit Returns, Jaime L.P. Yong
Research outputs pre 2011
Since 1990, the Australian Real Estate Investment Trust (AREIT) sector has experienced substantial growth and popularity. While the AREIT sector had benefit from the increased flow of funds from institutional investors during the 1997 Asian financial crisis, the recent impact of the 2008 global financial crisis has been a negative one. In this paper, we examine the sensitivities of annualised AREIT returns against a set of seven firm-specific variables and four market-wide risk variables. Balanced and unbalanced panel regressions are conducted on three sub-periods during 1990 – 2008 corresponding to the major phases in evolution of the AREIT sector. Our …
A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang
A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang
Research outputs pre 2011
There is controversy about whether a monetary union is feasible in the East Asian region. Amongst the criteria for establishing a monetary union, most of the existing studies focus on the symmetric issue of fundamental shocks and the extent of correlations by applying the Blanchard and Quah (1989) structural vector autoregression (VAR) technique, which includes the firstdifferenced variables in the model and examines only bilateral relationships. When forming a monetary union, the member countries need to renounce their monetary policy autonomy. If shocks to respective economies are symmetric, the cost of relinquishing the discretionary monetary policy is likely to be …