Is the response of REIT returnsto monetary policy asymmetric?

Yu Hsi Chou, Yi Chi Chen

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

In this paper, we investigate whether monetary policy has asymmetric effects on U.S. equity REIT returns by using Markov-switching models. We adopt a number of measures of monetary policy. We find substantial regime switching in the response to a monetary policy action that corresponds to "boom" and "bust" regimes. In particular, we find strong evidence that policy actions taken during boom markets have larger effects on REIT returns than those taken during bust markets. This result is in contrast to the empirical evidence of asymmetry related to output and stock returns.

Original languageEnglish
Pages (from-to)109-135
Number of pages27
JournalJournal of Real Estate Research
Volume36
Issue number1
Publication statusPublished - 2014
Externally publishedYes

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (miscellaneous)

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