This paper assesses whether changes in the level and volatility of short- and long-term interest rates divergently affect excess returns of sector-specific REITs in the Pacific Rim region between July 2006 and December 2018. This is due to that different property sectors have distinct risk-return characterises. The generalised autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology was employed to examine the linkage between interest rates and daily excess returns of sector-specific REITs. The empirical results show that sector- specific REITs were less sensitive to short- and long-term interest rate changes between July 2006 and December 2018, compared with diversified REITs in the US, Japan, Australia and Singapore. This may be attributed with a diversified REIT portfolio comprising multiple property sectors. Within sector-specific REITs, retail and residential REITs were susceptible to interest rate movements over the full study period. On the other hand, office and specialty REITs were generally less sensitive to changes in the level and volatility of short- and long- term interest rate series across all markets in the Pacific Rim region. However, the interest rate sensitivity of industrial REITs was somewhat mixed. This sector was sensitive to interest rate movements, but no comparable evidence was found since the onset of GFC. This may be attributed with its changing portfolio structures, due to recent e-commerce trends. These findings are expected to enhance property investors' understanding of the interest rate risk management for different property types of REITs in the US, Japan, Australia and Singapore.