Title

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

Document Type

Article

Publication Date

2018

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.

Version

The version available here is the abstract. Please click on the link on the right to access the full-text.

Publication Title

Journal of Real Estate Literature

Volume Number

26

Issue Number

1

First Page

175

Last Page

188

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