The Effect of Monetary Policy on Stock Prices: The Subprime Mortgage Crisis

This chapter examines Michael Jackson’s fiscal travails from 2002 to the release of This Is It in 2010, reading coverage of his consumption, debt, and attempts at recovery as racialized public melodrama. It begins with a scene of Jackson shopping in Las Vegas taken from Living with Michael Jackson, viewed through both the emerging consumer credit bubble and the temperance melodrama The Drunkard. It then turns to the ways testimony about Jackson’s finances, particularly his debts, played a pivotal role in his child molestation trial, reproducing a financialized melodramatic racial dialectic that emerged again in the subprime mortgage crisis. It concludes by reading parallels between accounts of Jackson’s physical wasting on the set of This Is It and that of the compulsively dancing child in Hans Christian Andersen’s tale “The Red Shoes.” Both represent the process of disciplining past excesses through redemptive contraction as US austerity rhetoric reached a crescendo.

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CONTAGION AND DOWNSIDE RISK IN THE REIT MARKET DURING THE SUBPRIME MORTGAGE CRISIS

International Journal of Strategic Property Management ◽

10.3846/1648715x.2014.974724 ◽

2015 ◽

Vol 19 (1) ◽

pp. 42-57 ◽

Cited By ~ 5

Author(s):

Ming-Chi CHEN ◽

Hsiu-Jung TSAI ◽

Tien-Foo SING ◽

Chih-Yuan YANG

Keyword(s):

Stock Returns ◽

The United States ◽

The European Union ◽

Subprime Mortgage ◽

Crisis Period ◽

Contagion Effects ◽

Mortgage Crisis ◽

Systematic Risks ◽

Subprime Mortgage Crisis ◽

Capm Beta

This study empirically tests the contagion effects in stock and real estate investment trust (REIT) markets during the subprime mortgage crisis by using daily stock- and REIT-markets data from the following countries and international bodies: the United States, the European Union, Japan, Hong Kong, Singapore, Australia, and the global REIT market. We found a significant and positive dynamic conditional correlation (DCC) coefficient between stock returns and REIT returns. The results revealed that the REIT markets responded early to market shocks and that the variances were higher in the post-crisis period than in the pre-crisis period. Evidence supporting the contagion effects includes increases in the means of the DCC coefficients during the post-crisis period. The Japanese and Australian REIT markets possess the lowest time-varying downside systematic risks. We also demonstrated that the “DCC E-beta” captures more significant downside linkages between market portfolios and expected REIT returns than does the standard CAPM beta.

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