Monetary policy & real estate investment trusts

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Title: Monetary policy & real estate investment trusts
Authors: Bredin, Donal
O'Reilly, Gerard
Stevenson, Simon
Permanent link: http://hdl.handle.net/10197/1194
Date: 2007
Abstract: This paper assesses the response of Real Estate Investment Trusts (REIT's) to unexpected changes in US monetary policy. A critical element in this study is the use of futures markets to isolate unexpected changes in the policy rate. We find a significant negative response of REIT returns to a surprise change in the policy rate. The paper then examines the potential sources behind such an observed response. We find important differences between the REIT market and the broader equity market. Intuitively the impact of monetary policy on dividend news appears to be more pronounced in the REIT case. However, the decomposition of the response to monetary shocks is largely driven by revision in expectations regarding future excess returns and these results are largely consistent with the findings for the overall stock market as reported in Bernanke & Kuttner (2005).
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-07-01
Copyright (published version): 2007, Centre for Financial Markets
Subject LCSH: Real estate investment trusts
Monetary policy--United States
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/WP-07-01.pdf
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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