The Impact of Switching Regimes and Monetary Shocks: An Empirical Analysis of REITs

Randy I. Anderson (), Vaneesha Boney () and Hany Guirguis ()
Additional contact information
Randy I. Anderson: University of Central Florida
Vaneesha Boney: Daniels College of Business
Hany Guirguis: Manhattan College

Journal of Real Estate Research, 2012, vol. 34, issue 2, 157-182

Abstract: This paper demonstrates that the effects of unanticipated monetary policy changes (shocks) on REIT returns are asymmetric between the high- and low-variance regimes. We utilize a Markov regime-switching model with error correction terms to quantify the impact of monetary shocks on seven specialized REIT indices in a sample of daily returns from 1997 to 2008. The relationship between monetary shocks and REIT returns is negative, but this relationship is significant primarily during periods of high variance, namely the current recession and recent crisis events. Furthermore, monetary shocks have about twice as much effect on REITs as they do on the SP500 index during high-variance regimes. This asymmetric response can be attributed to the Fed’s recession avoidance tactics, downward price rigidity, and the external financing premium. Given their unique regulatory and operating characteristics, REITs are an important and independent test case for ongoing research into the impact of monetary shocks.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://pages.jh.edu/jrer/papers/pdf/past/vol34n02/02.157_182.pdf Full text (application/pdf)

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:jre:issued:v:34:n:2:2012:p:157-182

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://pages.jh.edu/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is currently edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323.
Bibliographic data for series maintained by JRER Graduate Assistant/Webmaster ().