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Is the Response of REIT Returns to Monetary Policy Asymmetric?

Author

Listed:
  • Yu-Hsi Chou

    (Fu-Jen Catholic University)

  • Yi-Chi Chen

    (National Cheng Kung University)

Abstract

In 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.

Suggested Citation

  • Yu-Hsi Chou & Yi-Chi Chen, 2014. "Is the Response of REIT Returns to Monetary Policy Asymmetric?," Journal of Real Estate Research, American Real Estate Society, vol. 36(1), pages 109-136.
    • Handle: RePEc:jre:issued:v:36:n:1:2014:p:109-136
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    Cited by:

    1. Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2022. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(3), pages 241-261, July.
    2. Cepni, Oguzhan & Dul, Wiehan & Gupta, Rangan & Wohar, Mark E., 2021. "The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Hardik A. Marfatia & Rangan Gupta & Keagile Lesame, 2021. "Dynamic Impact of Unconventional Monetary Policy on International REITs," JRFM, MDPI, vol. 14(9), pages 1-19, September.
    4. Ramzi Tarazi & Mohammad Zahid Hasan, 2019. "The Effect of Economic and Fundamental Factors on the Australian Property Performance," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 15(2), pages 155-184.
    5. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.
    6. Stelios Bekiros & Amanda Dahlström & Gazi Salah Uddin & Oskar Ege & Ranadeva Jayasekera, 2020. "A tale of two shocks: The dynamics of international real estate markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(1), pages 3-27, January.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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