美国非常规货币政策冲击对新兴市场REITs的影响

Q3 Social Sciences Journal of Real Estate Literature Pub Date : 2018-07-01 DOI:10.1080/10835547.2018.12090476

Rangan Gupta, H. Marfatia

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引用次数: 18

摘要

在本文中，我们估计了一个定性向量自回归(Qual VAR)模型，该模型将量化宽松(QE)公告的二元信息与包含美国和新兴市场房地产投资信托(REIT)回报的标准VAR模型相结合。Qual VAR揭示了美联储潜在的、不可观察的量化宽松倾向，并对新兴市场房地产投资信托基金的回报产生了冲动反应。结果表明，量化宽松对新兴市场REITs的收益有(强)正显著但短暂的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Impact of Unconventional Monetary Policy Shocks in the U.S. on Emerging Market REITs

Abstract In this paper, we estimate a qualitative vector autoregression (Qual VAR) model, in which we combine the binary information of quantitative easing (QE) announcements with an otherwise standard VAR model that includes U.S. and emerging market real estate investment trust (REIT) returns. The Qual VAR uncovers the Federal Reserve's latent, unobservable propensity for QE and generates impulse responses for the emerging market REIT returns. The results show that QE has (strong) positively significant, but short-lived, effects on the returns of emerging market REITs.

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来源期刊

Journal of Real Estate Literature Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： The Journal of Real Estate Literature (JREL) is a publication of the American Real Estate Society (ARES). This journal offers a comprehensive source of information about real estate research and encourages research and education in industry and academia. The scope of the journal goes beyond that of traditional literature journals that only list published research. This journal also includes working papers, dissertations, book reviews and articles on literature reviews on specialized topics, real estate information technology and international real estate.