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A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach

Author

Listed:
  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Hardik A. Marfatia

    (Department of Economics, Northeastern Illinois University, Chicago, USA)

Abstract

In this paper, we estimate a Qualitative Vector Autoregressive (Qual VAR) model, which combines binary information of Quantitative Easing (QE) announcements with an otherwise standard VAR model that includes US and emerging market Real Estate Investment Trusts (REITs) returns. The Qual VAR uncovers the Federal Reserve’s latent, unobservable propensity for QE and generates impulse responses for the emerging market REITs returns. The results show that QE has (strong) positively significant, but short-lived, effects on the returns of emerging market REITs.

Suggested Citation

  • Rangan Gupta & Hardik A. Marfatia, 2017. "A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach," Working Papers 201736, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201736
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    References listed on IDEAS

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    1. Jing Cynthia Wu & Fan Dora Xia, 2016. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 253-291, March.
    2. Barry, Christopher B. & Rodriguez, Mauricio, 2004. "Risk and return characteristics of property indices in emerging markets," Emerging Markets Review, Elsevier, vol. 5(2), pages 131-159, June.
    3. Neely, Christopher J., 2015. "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 101-111.
    4. Huber, Florian & Punzi, Maria Teresa, 2020. "International Housing Markets, Unconventional Monetary Policy, And The Zero Lower Bound," Macroeconomic Dynamics, Cambridge University Press, vol. 24(4), pages 774-806, June.
    5. Michael Dueker, 2005. "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 96-104, January.
    6. Charles Rahal,, 2016. "Housing markets and unconventional monetary policy," Journal of Housing Economics, Elsevier, vol. 32(C), pages 67-80.
    7. Saroj Bhattarai & Christopher J. Neely, 2022. "An Analysis of the Literature on International Unconventional Monetary Policy," Journal of Economic Literature, American Economic Association, vol. 60(2), pages 527-597, June.
    8. Kim Hiang Liow & Alastair Adair, 2009. "Do Asian real estate companies add value to investment portfolio?," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 27(1), pages 42-64, February.
    9. Michael Dueker & Katrin Assenmacher-Wesche, 2010. "Forecasting macro variables with a Qual VAR business cycle turning point index," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 2909-2920.
    10. Meinusch, Annette & Tillmann, Peter, 2016. "The macroeconomic impact of unconventional monetary policy shocks," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 58-67.
    11. Brett W. Fawley & Christopher J. Neely, 2013. "Four stories of quantitative easing," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 51-88.
    12. Edda Claus & Iris Claus & Leo Krippner, 2014. "Asset markets and monetary policy shocks at the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2014/03, Reserve Bank of New Zealand.
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    Cited by:

    1. Fasanya, Ismail O. & Oyewole, Oluwatomisin J., 2023. "On the connection between international REITs and oil markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 81(C).

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    More about this item

    Keywords

    Qual VAR; Unconventional Monetary Policy; Emerging Markets; REITs;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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