ABSTRACT We employ Markov regime-switching approach to explore the regime-dependent linkages between securitized real estate market and stock, money, bond and foreign exchange markets for 10 economies. During high-volatility periods in securitized property markets, stock market return, and to some extent, changes to foreign exchange market rates impose stronger and positive impact on securitized real estate market returns. Moreover, stock and bond market risks are linked negatively to securitized real estate market risk. Although the asymmetrical regime-dependent influences of the financial market performance indicators on the SRE market do vary across the 10 economies studied in terms of direction and significance, the results highlight the risk of increased exposure of securitized property markets to financial markets during high-volatility market conditions which the investors and policymakers should be alerted to.

中文翻译：

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证券化房地产市场和主要金融市场之间取决于制度的联系：一些国际证据

摘要我们采用马尔可夫政权转换方法来探索证券化房地产市场与10个经济体的股票，货币，债券和外汇市场之间的依存关系。在证券化房地产市场的高波动时期，股票市场的回报率以及一定程度上外汇市场汇率的变化对证券化房地产市场的回报率产生了更大而积极的影响。此外，股票和债券市场风险与证券化房地产市场风险负相关。尽管金融市场绩效指标对SRE市场的非对称依存关系的影响在研究的10个经济体的方向和意义上确实有所不同，