Dynamic Impact of Unconventional Monetary Policy on International REITs

Hardik A. Marfatia, Rangan Gupta and Keagile Lesame
Additional contact information
Hardik A. 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

JRFM, 2021, vol. 14, issue 9, 1-19

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 undertake a static approach, we use an event study approach and estimate a time-varying parameter model to investigate the dynamic impact of forward guidance (FG) and large-scale asset purchases (LSAP) shocks on the international REIT returns. We also compare the effects of these unconventional tools with the effects of conventional federal funds rate (FFR) shocks. The results show that the response of international REITs to unconventional policy shocks depends on the time under consideration. FG shocks have greater time-variation in the impact on REIT returns compared to LSAP shocks, particularly with Australia, Belgium, and the US REIT markets. Furthermore, FG shocks broadly have a negative impact on REITs while the results for LSAP effects are mixed. We also find that in most countries, REITs time-varying response of FG shocks is related to changes in gold prices and financial conditions.

Keywords: unconventional monetary policy; forward guidance; LSAP; REITs; time varying parameter model (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
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Working Paper: Dynamic Impact of Unconventional Monetary Policy on International REITs (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:14:y:2021:i:9:p:429-:d:631217

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