Revisiting the nexus of REITs returns and macroeconomic variables

Ming-Che Wu and Chien-Ming Wang

Finance Research Letters, 2024, vol. 59, issue C

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.

Keywords: REITs; GDP; Stock price index; Unemployment rate; Expected inflation; Effective interest rate; Bootstrap Fourier Granger causality in quantiles test (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323012096
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012096

DOI: 10.1016/j.frl.2023.104837

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().