Monetary Policy and Bubbles in US REITs
Adrian Cantemir Calin and
Rangan Gupta ()
No 201845, Working Papers from University of Pretoria, Department of Economics
In this paper, we analyze the effects of monetary policy on the bubbles in the Real Estate Investment Trusts (REITs) sector of the United States. We use a time-varying vector autoregressive (VAR) model over the quarterly period of 1972:1 to 2018:1. We find protracted periods, starting from the onset of the recent financial crisis to the end of the sample period, where contractionary monetary policy is associated with increases in the bubble component in the REITs of the US economy. This result, which is robust to alternative REITs indexes, is contrary to the “conventional" view, as well as to the predictions of standard models of bubbles.
Keywords: REITs; Bubbles; VAR; Monetary Policy (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201845
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