Is the Response of REIT Returns to Monetary Policy Asymmetric?
AbstractIn this paper, we investigate whether monetary policy has asymmetric effects on U.S. equity REIT returns by using Markov-switching models. We adopt a number of measures of monetary policy. We find substantial regime switching in the response to a monetary policy action that corresponds to ''boom'' and ''bust'' regimes. In particular, we find strong evidence that policy actions taken during boom markets have larger effects on REIT returns than those taken during bust markets. This result is in contrast to the empirical evidence of asymmetry related to output and stock returns.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal journal of Real Estate Research.
Volume (Year): 36 (2014)
Issue (Month): 1 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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