A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach
Rangan Gupta () and
No 201736, Working Papers from University of Pretoria, Department of Economics
In this paper, we estimate a Qualitative Vector Autoregressive (Qual VAR) model, which combines binary information of Quantitative Easing (QE) announcements with an otherwise standard VAR model that includes US and emerging market Real Estate Investment Trusts (REITs) returns. The Qual VAR uncovers the Federal Reserve’s latent, unobservable propensity for QE and generates impulse responses for the emerging market REITs returns. The results show that QE has (strong) positively significant, but short-lived, effects on the returns of emerging market REITs.
Keywords: Qual VAR; Unconventional Monetary Policy; Emerging Markets; REITs (search for similar items in EconPapers)
JEL-codes: C32 E52 R33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201736
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().