A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach

Rangan Gupta and Hardik Marfatia

No 201736, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we estimate a Qualitative Vector Autoregressive (Qual VAR) model, which combines binary information of Quantitative Easing (QE) announcements with an otherwise standard VAR model that includes US and emerging market Real Estate Investment Trusts (REITs) returns. The Qual VAR uncovers the Federal Reserve’s latent, unobservable propensity for QE and generates impulse responses for the emerging market REITs returns. The results show that QE has (strong) positively significant, but short-lived, effects on the returns of emerging market REITs.

Keywords: Qual VAR; Unconventional Monetary Policy; Emerging Markets; REITs (search for similar items in EconPapers)
JEL-codes: C32 E52 R33 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2017-05
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201736

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