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

Randy Anderson, Vaneesha Boney and Hany Guirguis

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 real estate investment trust (REIT) returns are asymmetric between the high- and low-variance regimes. A Markov regime-switching model with error correction terms is used 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. Furthermore, monetary shocks have about twice as much effect on REITs as they do on the S&P 500 Index during high-variance regimes. This asymmetric response can be attributed to the Federal Reserve's recession avoidance tactics, downward price rigidity, and the external financing premium. REITs are an important and independent test case for research into the impact of monetary shocks.

Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2012.12091332 (text/html)
Access to full text is restricted to subscribers.

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:taf:rjerxx:v:34:y:2012:i:2:p:157-182

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjer20

DOI: 10.1080/10835547.2012.12091332

Access Statistics for this article

Journal of Real Estate Research is currently edited by William Hardin and Michael Seiler

More articles in Journal of Real Estate Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().