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Dynamic Impact of Unconventional Monetary Policy on International REITs

Author

Listed:
  • Hardik A. Marfatia

    (Department of Economics, Northeastern Illinois University, BBH 344G, 5500 N. St. Louis Ave., Chicago, IL 60625, USA)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

  • Keagile Lesame

    (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

Abstract

In this paper, we estimate the dynamic impact of unconventional monetary policy in the US on international REITs. Unlike existing studies which are limited to conventional policy tools and/or undertake a static approach, we estimate the dynamic time-varying impact of forward guidance and large-scale asset purchases (LSAP) shocks on the international REIT returns. We compare the effects of these unconventional tools with the effects of conventional federal funds rate shocks. Results show that the response of international REITs to the unconventional policy shocks significantly depends on the time under consideration. Forward guidance shocks have greater time variation in the impact on REIT returns compared to LSAP shocks, particularly in the case of Australia, Belgium, and the US REIT markets. We also find that in most countries, REITs time-varying response is related to the gold price changes.

Suggested Citation

  • Hardik A. Marfatia & Rangan Gupta & Keagile Lesame, 2020. "Dynamic Impact of Unconventional Monetary Policy on International REITs," Working Papers 202020, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202020
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    Citations

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    Cited by:

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    3. Salisu, Afees A. & Bouri, Elie & Gupta, Rangan, 2022. "Out-of-sample predictability of gold market volatility: The role of US Nonfarm Payroll," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 482-488.
    4. Mensi, Walid & Gubareva, Mariya & Teplova, Tamara & Kang, Sang Hoon, 2023. "Spillover and connectedness among G7 real estate investment trusts: The effects of investor sentiment and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    5. Shixuan Wang & Rangan Gupta & Matteo Bonato & Oguzhan Cepni, 2022. "The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks," Working Papers 202219, University of Pretoria, Department of Economics.
    6. Hanif, Waqas & Andraz, Jorge Miguel & Gubareva, Mariya & Teplova, Tamara, 2024. "Are REITS hedge or safe haven against oil price fall?," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1-16.
    7. Pejman Peykani & Mostafa Sargolzaei & Amir Takaloo & Shahla Valizadeh, 2023. "The Effects of Monetary Policy on Macroeconomic Variables through Credit and Balance Sheet Channels: A Dynamic Stochastic General Equilibrium Approach," Sustainability, MDPI, vol. 15(5), pages 1-21, March.

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    More about this item

    Keywords

    Unconventional monetary policy; Forward guidance; LSAP; REITs; Time varying parameter model;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • 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
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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