On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees

Christian Pierdzioch, Marian Risse, Rangan Gupta and Wendy Nyakabawo
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Wendy Nyakabawo: Department of Economics, University of Pretoria, Pretoria

No 201677, Working Papers from University of Pretoria, Department of Economics

Abstract: We use Bayesian Additive Regression Trees (BART) to study the comovement of REIT returns with expected and unexpected inflation. Our finding show that the two inflation components are not among the leading predictors of REIT returns in terms of their relative importance, but also that the explanatory power of the two inflation components for REIT returns changed over time. REIT returns exhibit an asymmetric response to unexpected inflation, a phenomenon mainly concentrated in the Greenspan era.

Keywords: REIT returns; BART modeling; Inflation (search for similar items in EconPapers)
JEL-codes: C22 R30 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2016-10
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Citations: View citations in EconPapers (4)

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Journal Article: On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees (2019)
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