Document Type

Article

Publication Date

2026

DOI

10.1111/irfi.70098

Publication Title

International Review of Finance

Volume

26

Issue

3

Pages

e70098 (1-13)

Abstract

The first half of the 2020's has seen a degree of economic and geo-political uncertainty not observed since the 1970s. This paper looks at how listed real estate is exposed to capital market shocks by estimating Conditional Value-at-Risk (CoVaR), which captures the sensitivity of real estate returns to extreme movements in broader equity markets. We use threshold Generalized Autoregressive Conditional Heteroskedasticity (tGARCH) and Copula co-dependency functions to accurately account for tail behavior and dependency structures. We find a significant increase in downside spillovers from capital markets to listed real estate during the Covid period across most countries. However, the response to geo-political events varies across countries, which might provide diversification benefits at international level. Furthermore, geo-political shocks seem more strongly transmitted through stock markets rather than bond markets.

Rights

© 2026 The Authors.

This is an open access article under the terms of the Creative Commons Attribution 4.0 International (CC BY 4.0) License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.

ORCID

0000-0001-7090-5938 (Stevenson)

Original Publication Citation

Milcheva, S., Stevenson, S., & Xie, L. (2026). Tail dependence: The impact of risk spillovers on real estate markets in times of economic and geo-political uncertainty. International Review of Finance, 26(3), Article e70098. https://doi.org/10.1111/irfi.70098

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