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The response of sub-sector REIT returns to shocks in fundamental state variables

James Payne ()

Applied Financial Economics Letters, 2006, vol. 2, issue 2, 71-75

Abstract: Using monthly data from 1994:01 to 2005:03, the results from vector autoregressive models and generalized impulse response analysis indicate that unexpected shocks in industrial production, inflation, term structure, default risk, and the federal funds rate have virtually no statistically significant impact on sub-sector REIT returns.

Date: 2006
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Handle: RePEc:taf:apfelt:v:2:y:2006:i:2:p:71-75