Is the response of REIT returnsto monetary policy asymmetric?

Yu Hsi Chou, Yi Chi Chen

研究成果: 雜誌貢獻期刊論文同行評審

12 引文 斯高帕斯(Scopus)

摘要

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.

原文英語
頁(從 - 到)109-135
頁數27
期刊Journal of Real Estate Research
36
發行號1
出版狀態已發佈 - 2014
對外發佈

ASJC Scopus subject areas

  • 經濟學、計量經濟學和金融學(雜項)

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