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Monetary Shocks and REIT Returns |
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| Authors: | Don Bredin Gerard O’Reilly Simon Stevenson | ||
| Institution: | (1) School of Business, University College Dublin, Blackrock, County Dublin, Ireland;(2) Economic Analysis and Research Department, Central Bank and Financial Services Authority of Ireland, PO Box 559, Dame Street, Dublin 2, Ireland;(3) Faculty of Finance, Cass Business School, City University, 106 Bunhill Row, London, EC1Y 8TZ, UK | ||
| 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.
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| Keywords: | US monetary policy Equity Real Estate Investment Trusts Monetary shocks REIT returns | ||
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