The Impact of Macroeconomic Variables (Interest Rates, Money Supply, and Crude Oil Prices) on REIT Returns: A Case of South Africa and Brazil

The paper studied the relationship between macroeconomic variables and the returns of REITs listed on the São Paulo and Johannesburg Stock Exchanges between January 2014 and December 2017. The study utilises a multi-linear regression model, estimated via ordinary least squares (OLS), to assess the impact of macroeconomic factors on REIT returns. Additionally, the Intertemporal Capital Asset Pricing Model (ICAPM) is employed to analyse the effects of time-varying factors such as interest rates, money supply, and oil price fluctuations on REIT returns. The findings reveal an insignificant negative relationship between interest rates and REIT returns in both South Africa and Brazil, and an insignificant positive relationship between money supply and REIT returns in both markets. South African REIT returns negatively correlate with crude oil prices, while Brazilian REIT returns show a significant positive relationship with crude oil prices. This study enhances empirical knowledge on how macroeconomic variables affect REIT performance within BRICS economies. It provides valuable insights for policymakers and regulators in shaping monetary policy, monitoring market stability, and forecasting financial risks in REIT markets. Additionally, it informs arbitrage and hedging strategies to optimise returns, while paving the way for further comparative research among BRICS countries.