dc.contributor.author |
Caraiani, Petre
|
|
dc.contributor.author |
Calin, Adrian C.
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2020-02-04T08:15:10Z |
|
dc.date.available |
2020-02-04T08:15:10Z |
|
dc.date.issued |
2021-06 |
|
dc.description.abstract |
In this article, we analyze the effects of monetary policy on the bubbles in the Real Estate Investment Trusts (REITs) sector of the United States. We use a time‐varying vector autoregressive model over the quarterly period of 1972:1 to 2018:1. We find protracted periods, starting from the onset of the recent financial crisis to the end of the sample period, where contractionary monetary policy is associated with increases in the bubble component in the REITs of the US economy. This result, which is robust to alternative REITs indexes, is contrary to the “conventional” view, as well as to the predictions of standard models of bubbles. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
hj2020 |
en_ZA |
dc.description.uri |
http://wileyonlinelibrary.com/journal/irfi |
en_ZA |
dc.identifier.citation |
Caraiani P, Călin AC, Gupta R. Monetary policy and bubbles in US REITs. International Review of Finance. 2021; 21(2):675-687. https://doi.org/10.1111/irfi.12284. |
en_ZA |
dc.identifier.issn |
1369-412X (print) |
|
dc.identifier.issn |
1468-2443 (online) |
|
dc.identifier.other |
10.1111/irfi.12284 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/73082 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Wiley |
en_ZA |
dc.rights |
© 2019 International Review of Finance Ltd. This is the pre-peer reviewed version of the following article : Monetary policy and bubbles in US REITs. International Review of Finance. 2021; 21(2):675-687. https://doi.org/10.1111/irfi.12284. The definite version is available at : http://wileyonlinelibrary.com/journal/irfi. |
en_ZA |
dc.subject |
Bubbles |
en_ZA |
dc.subject |
Monetary policy |
en_ZA |
dc.subject |
Real estate investment trust (REIT) |
en_ZA |
dc.subject |
Vector autoregression (VAR) |
en_ZA |
dc.title |
Monetary policy and bubbles in US REITs |
en_ZA |
dc.type |
Preprint Article |
en_ZA |