The response of sub-sector REIT returns to shocks in fundamental state variables
Using monthly data from 1994:01 to 2005:03, the results from vector autoregressive models and generalized impulse response analysis indicate that unexpected shocks in industrial production, inflation, term structure, default risk, and the federal funds rate have virtually no statistically significant impact on sub-sector REIT returns.
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Volume (Year): 2 (2006)
Issue (Month): 2 (March)
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- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
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- Yuming Li & Ko Wang, 1995. "The Predictability of REIT Returns and Market Segmentatio," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 471-482.
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- Bradley Ewing, 2002. "The transmission of shocks among S&P indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 285-290.
- James D. Peterson & Cheng-Ho Hsieh, 1997. "Do Common Risk Factors in the Returns on Stocks and Bonds Explain Returns on REITs?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 321-345.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
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