dc.contributor.author |
Marfatia, Hardik A.
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Lesame, Keagile
|
|
dc.date.accessioned |
2022-05-05T09:05:30Z |
|
dc.date.available |
2022-05-05T09:05:30Z |
|
dc.date.issued |
2021-09-08 |
|
dc.description.abstract |
In this paper, we estimate the dynamic impact of unconventional monetary policy in the
US on international REITs. Unlike existing studies which are limited to conventional policy tools
and undertake a static approach, we use an event study approach and estimate a time-varying
parameter model to investigate the dynamic impact of forward guidance (FG) and large-scale asset
purchases (LSAP) shocks on the international REIT returns. We also compare the effects of these
unconventional tools with the effects of conventional federal funds rate (FFR) shocks. The results
show that the response of international REITs to unconventional policy shocks depends on the time
under consideration. FG shocks have greater time-variation in the impact on REIT returns compared
to LSAP shocks, particularly with Australia, Belgium, and the US REIT markets. Furthermore, FG
shocks broadly have a negative impact on REITs while the results for LSAP effects are mixed. We
also find that in most countries, REITs time-varying response of FG shocks is related to changes in
gold prices and financial conditions. |
en_US |
dc.description.department |
Economics |
en_US |
dc.description.librarian |
am2022 |
en_US |
dc.description.uri |
https://www.mdpi.com/journal/jrfm |
en_US |
dc.identifier.citation |
Marfatia, Hardik A.,
Rangan Gupta, and Keagile Lesame.
2021. Dynamic Impact of
Unconventional Monetary Policy on
International REITs. Journal of Risk
and Financial Management 14: 429.
https://DOI.org/10.3390/jrfm14090429. |
en_US |
dc.identifier.issn |
1911-8066 (print) |
|
dc.identifier.issn |
1911-8074 (online) |
|
dc.identifier.other |
10.3390/jrfm14090429 |
|
dc.identifier.uri |
https://repository.up.ac.za/handle/2263/85087 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
MDPI |
en_US |
dc.rights |
© 2021 by the authors.
Licensee MDPI, Basel, Switzerland.
This article is an open access article
distributed under the terms and
conditions of the Creative Commons
Attribution (CC BY) license. |
en_US |
dc.subject |
Unconventional monetary policy |
en_US |
dc.subject |
Forward guidance |
en_US |
dc.subject |
Time varying parameter model |
en_US |
dc.subject |
Large-scale asset purchases (LSAP) |
en_US |
dc.subject |
Federal funds rate (FFR) |
en_US |
dc.subject |
Real estate investment trust (REIT) |
en_US |
dc.title |
Dynamic impact of unconventional monetary policy on international REITs |
en_US |
dc.type |
Article |
en_US |