Dynamic Impact of Unconventional Monetary Policy on International REITs

Hardik Marfatia (), Rangan Gupta and Keagile Lesame ()
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Hardik Marfatia: Department of Economics, Northeastern Illinois University, BBH 344G, 5500 N. St. Louis Ave., Chicago, IL 60625, USA
Keagile Lesame: Department of Economics, University of Pretoria, Pretoria, 0002, South Africa

No 202020, Working Papers from University of Pretoria, Department of Economics

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.

Keywords: Unconventional monetary policy; Forward guidance; LSAP; REITs; Time varying parameter model (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 F42 G14 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2020-02
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Journal Article: Dynamic Impact of Unconventional Monetary Policy on International REITs (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202020

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