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Revisiting the nexus of REITs returns and macroeconomic variables

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  • Wu, Ming-Che
  • Wang, Chien-Ming

Abstract

This paper employs the Bootstrap Fourier Granger Causality in Quantiles test to reevaluate the relationship between Real Estate Investment Trusts(REITs) returns and macroeconomic variables in the United States. Our empirical findings demonstrate a significant positive relationship between GDP and REITs returns across all quantiles, except for the lowest 0.1 quantile. Additionally, we observe a significantly negative relationship between the stock price index and REITs returns across all quantiles. Moreover, the study reveals that the unemployment rate and effective interest rate exhibit an effective increase in REITs returns.

Suggested Citation

  • Wu, Ming-Che & Wang, Chien-Ming, 2024. "Revisiting the nexus of REITs returns and macroeconomic variables," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012096
    DOI: 10.1016/j.frl.2023.104837
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    References listed on IDEAS

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