The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach |
| |
Authors: | Lu Chiuling So Raymond W |
| |
Institution: | (1) Department of Finance, Yuan Ze University, Taoyuan, Taiwan;(2) Department of Finance, Chinese University of Hong Kong, Shatin, Hong Kong |
| |
Abstract: | Previous studies show that REITs returns and inflation arenegatively related. This paper reexamines this perverse inflation hedgephenomenon by investigating the relationship among REITs returns, realactivities, monetary policy and inflation through a Vector ErrorCorrection Model. Empirical results show that inflation does notGranger-cause REITs returns and that REITs returns signal changes in monetary policy. The observed negative relationship between REITs returnsand inflation is merely a proxy for the more fundamental relationshipbetween REITs returns and other macroeconomic variables. |
| |
Keywords: | perverse inflation hedge real estate investment trusts VECM |
本文献已被 SpringerLink 等数据库收录! |
|