The global financial crisis was a sharp shock to real estate markets and while interest rates and government bond yields fell in response around the world, real estate yields (cap rates) have risen. The objective of this paper is to analyse the gap between government bonds (index-linked and long dated) and real estate yields over time for the UK, Australia and the USA and determine whether there has been a structural break in this long term relationship. The statistical analysis, based on ARCH models, will identify previous structural breaks in these relationships. The absolute gap levels and their variation over time in the different countries is then linked to the theoretical reasons for the yield gap in terms of a risk premium and compared with the findings from earlier studies.