Monetary policy and bubbles in US REITs

Petre Caraiani, Adrian C. Călin and Rangan Gupta

International Review of Finance, 2021, vol. 21, issue 2, 675-687

Abstract: In this article, we analyze the effects of monetary policy on the bubbles in the Real Estate Investment Trusts (REITs) sector of the United States. We use a time‐varying vector autoregressive model over the quarterly period of 1972:1 to 2018:1. We find protracted periods, starting from the onset of the recent financial crisis to the end of the sample period, where contractionary monetary policy is associated with increases in the bubble component in the REITs of the US economy. This result, which is robust to alternative REITs indexes, is contrary to the “conventional” view, as well as to the predictions of standard models of bubbles.

Date: 2021
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https://doi.org/10.1111/irfi.12284

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Working Paper: Monetary Policy and Bubbles in US REITs (2018)
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