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Re-investigating the anomalous relationship between inflation and equity REIT returns: A regime-switching approach

Author

Listed:
  • Das, Mahamitra
  • Sarkar, Nityananda

Abstract

This paper re-investigates the anomalous relationship between inflation and equity REIT returns in the USA by introducing regime consideration in the modeling approach and including additional relevant variables viz., relative price variability and output growth in the relationship. By applying both the observed and unobserved regime switching vector autoregressive model, this paper makes an attempt to explain the hitherto observed anomalous negative relationship between REIT returns and inflation. It is evident from the results that this negative relationship between REIT returns and inflation is merely a proxy for the effectiveness of relative price variability and output growth on REIT returns.

Suggested Citation

  • Das, Mahamitra & Sarkar, Nityananda, 2017. "Re-investigating the anomalous relationship between inflation and equity REIT returns: A regime-switching approach," MPRA Paper 95135, University Library of Munich, Germany, revised 05 Nov 2018.
    • Handle: RePEc:pra:mprapa:95135
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    REITs; Relative price variability; Inflation; TVAR; MSVAR;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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