On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees
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DOI: 10.1016/j.frl.2018.09.010
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- Christian Pierdzioch & Marian Risse & Rangan Gupta & Wendy Nyakabawo, 2016. "On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees," Working Papers 201677, University of Pretoria, Department of Economics.
References listed on IDEAS
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Citations
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Cited by:
- Das, Mahamitra & Sarkar, Nityananda, 2017. "Re-investigating the anomalous relationship between inflation and equity REIT returns: A regime-switching approach," MPRA Paper 95135, University Library of Munich, Germany, revised 05 Nov 2018.
- Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018.
"Do house prices hedge inflation in the US? A quantile cointegration approach,"
International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
- Christina Christou & Rangan Gupta & Wendy Nyakabawo & Mark E. Wohar, 2017. "Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach," Working Papers 201707, University of Pretoria, Department of Economics.
- Das, Mahamitra & Sarkar, Nityananda, 2019. "Revisiting the Anomalous Relationship between Inflation and REIT Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK," MPRA Paper 95130, University Library of Munich, Germany, revised 05 Nov 2019.
- Shi, Qi, 2023. "The RP-PCA factors and stock return predictability: An aligned approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
- Bouri, Elie & Nekhili, Ramzi & Kinateder, Harald & Choudhury, Tonmoy, 2023. "Expected inflation and U.S. stock sector indices: A dynamic time-scale tale from inflationary and deflationary crisis periods," Finance Research Letters, Elsevier, vol. 55(PA).
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More about this item
Keywords
REIT returns; BART modeling; Inflation;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
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