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Monetary shocks and REIT returns
Date Issued
2007
Date Available
2009-06-15T14:20:29Z
Abstract
We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT’s). Although a number of studies have
investigated the issue of interest rate changes, the effect of unanticipated changes has not previously been addressed in terms of possible effects on both REIT’s returns and volatility. The results show a strong response in both the first and second moments of REIT returns to unexpected policy rate changes. The results for the impact of the shock on both mean and volatility of returns is consistent with results from studies addressing broader equity markets. However, we find evidence both against behavioral changes in volatility coincident to US monetary policy decisions and asymmetric responses to the monetary policy shock.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-07-15
Copyright (Published Version)
2007, Centre for Financial Markets
Subject – LCSH
Monetary policy--United States
Real estate investment trusts
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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