Is the Response of REIT Returns to Monetary Policy Asymmetric?

Chou, Yu Hsi; Chen, Yi Chi

doi:10.1080/10835547.2014.12091381

Cited by 18 publications

(5 citation statements)

References 31 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In the US, we find the borrowings channel to be more dominant. A surprise rate hike (cut) reduces (increases) the US REIT returns and these results are in line with evidence from Bredin et al (2010) and Chou and Chen (2014) of a negative relationship between conventional US monetary policy and REIT returns. A higher (lower) policy rate has corresponding effects on the cost of borrowing, and, consequently, it negatively impacts REIT returns.…”

Section: Dynamic Impact Of Unconventional Monetary Policysupporting

confidence: 86%

“…Growth in the international REIT market and trading of REITs follows institutional changes in the 1990s which involved changes to the regulatory framework which allowed the use of internal advisors or self-managed REITs which made REIT companies more operations-oriented. The behavior of REIT stocks is more like general stocks Chan et al (2005) however because their value is derived from the underlying real estate, monetary policy surprises which affect rental incomes of real estate companies also affect REIT prices, Chou and Chen (2014).…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Dynamic Impact of Unconventional Monetary Policy on International REITs

Marfatia

Gupta

Lesame

2021

JRFM

View full text Add to dashboard Cite

In this paper, we estimate the dynamic impact of unconventional monetary policy in the US on international REITs. Unlike existing studies which are limited to conventional policy tools and undertake a static approach, we use an event study approach and estimate a time-varying parameter model to investigate the dynamic impact of forward guidance (FG) and large-scale asset purchases (LSAP) shocks on the international REIT returns. We also compare the effects of these unconventional tools with the effects of conventional federal funds rate (FFR) shocks. The results show that the response of international REITs to unconventional policy shocks depends on the time under consideration. FG shocks have greater time-variation in the impact on REIT returns compared to LSAP shocks, particularly with Australia, Belgium, and the US REIT markets. Furthermore, FG shocks broadly have a negative impact on REITs while the results for LSAP effects are mixed. We also find that in most countries, REITs time-varying response of FG shocks is related to changes in gold prices and financial conditions.

show abstract

Section: Dynamic Impact Of Unconventional Monetary Policysupporting

confidence: 86%

Section: Introductionmentioning

confidence: 99%

Dynamic Impact of Unconventional Monetary Policy on International REITs

Marfatia

Gupta

Lesame

2021

JRFM

View full text Add to dashboard Cite

show abstract

“…We also consider the spread of the credit rate. Chou and Chen (2014) consider both M2 and the federal funds rate while including the call money rate. Bredin et al (2007) consider both federal funds futures and the S&P stock price index.…”

Section: Empirical Modelmentioning

confidence: 99%

COVID-19 and the daily rate of return of three major industry sector stock price indices related to real estate

Min

Shin

Paz

2021

JPIF

View full text Add to dashboard Cite

PurposeThis paper analyzes how three major industrial stock indices related to South Korean real estate industries are affected by the exogenous shock of the measures taken to control COVID-19, coupled with investor sentiment, which has global impacts.Design/methodology/approachThe paper uses daily stock market indices on three major stock price indices: construction industry sector index, real estate operating company (REOC) industry index and the real estate investment trust (REIT) industry index of the Korea Stock Exchange (KRX), from January 8, 2020, when the World Health Organization (WHO) began to issue official indicators regarding COVID-19, to March 27, 2020, the last trading day of the week during which the South Korean government's stock market stabilisation fund was launched.FindingsResults indicate the REIT sector's stock rate of return to be relatively less sensitive to impacts of COVID-19 compared to those of the two other indices. Impulse response analysis also shows similar results. Impulse response estimations indicate that earlier information of REITs has prominent significance in explaining changes in the time series process itself. Similar to findings of prior studies that have been conducted with long-term perspectives, results of our short-term study indicate that the medium-risk, medium-return characteristic of the real estate industry has significance even in short-term perspectives.Practical implicationsREITs can be an investment vehicle that provides strong benefits of diversified investment for mutual fund investment managers even in the case of short-term exogenous market disruptions.Originality/valueThe analysis run in the empirical exercise is the first to consider the sensibility between international stock exchanges to the effects of measures taken to control COVID-19 impact.

show abstract

“…In this regard, our hypothesis is that the reaction of housing prices is likely to be stronger in periods of high sentiment (upper quantiles), compared to that under low sentiment (lower quantiles). Intuitively, borrowing from the stock market literature (see for example, De Long et al, (1990), and Lee et al, (1991)), the build-up of optimism when sentiment is on the rise leads to an extended period of market overvaluation (due overestimation of the size of rental growth or 1 In this regard the most important studies are that of Baffoe-Bonnie (1998), Fratantoni andSchuh (2003), Del Negro andOtrok (2007), Iacoviello and Minetti (2008), Jarocinski andSmets (2008), Vargas-Silva (2008), Beltratti and Morana (2010), Demary (2010), Chang et al, (2011), Moench and Ng (2011), Musso et al, (2011), Bjørnland and Jacobsen (2013, Chou and Chen (2014), Jordà et al, (2015). 2 Note that, our decision to use the QSVAR model over Markov-switching or smooth transition approaches is motivated out of the advantages the QSVAR possesses over these standard nonlinear models in terms of ex ante classification of different regimes and specification of parametric transition function respectively.…”

Section: Introductionmentioning

confidence: 99%

Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment

Caraiani

Gupta

Lau

et al. 2021

Journal of Behavioral Finance

View full text Add to dashboard Cite

In this paper, we use a Quantile Structural Vector Autoregressive (QSVAR) model, estimated over the quarterly period of 1975:Q3 to 2017:Q3, to analyze whether the impact of monetary policy shocks on real housing returns in the United States is contingent on the initial state of housing market sentiment. We find that contractionary monetary policy reduces real housing returns more strongly when the market is characterized by optimism rather than pessimism, with this effect being more pronounced under unconventional monetary policy decisions. Further robustness checks confirm our results. Our findings highlight the role in sentiments in driving the policy effectiveness and thus, have important implications for policy decisions.

show abstract

Is the Response of REIT Returns to Monetary Policy Asymmetric?

Cited by 18 publications

References 31 publications

Dynamic Impact of Unconventional Monetary Policy on International REITs

Dynamic Impact of Unconventional Monetary Policy on International REITs

COVID-19 and the daily rate of return of three major industry sector stock price indices related to real estate

Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment

Contact Info

Product

Resources

About