The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises
| dc.contributor.author | Marfatia, Hardik A. | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Cakan, Esin | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2018-04-04T06:25:14Z | |
| dc.date.issued | 2017-11 | |
| dc.description.abstract | International real estate markets and the ever increasing role of the U.S. economic and policy developments have played a central role both in international portfolio management as well as broader economic policy making. In this paper, we measure the extent of time-varying impact of the U.S. monetary policy and macroeconomic news on the international Real Estate Investment Trusts (REITs) stock returns. Results suggest that there has been significant variation both across time and across countries in the impact of U.S. news on the global REIT stocks. Further, the country’s stock market capitalization to GDP ratio has strong connections with the time-varying nature of the impact of the U.S. news on the global REIT stock returns. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2018-11-01 | |
| dc.description.librarian | hj2018 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/ecofin | en_ZA |
| dc.identifier.citation | Marfatia, H.A., Gupta, R. & Cakan, E. 2017, 'The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises', The North American Journal of Economics and Finance, vol. 42, pp. 640-653. | en_ZA |
| dc.identifier.issn | 1062-9408 (print) | |
| dc.identifier.issn | 1879-0860 (online) | |
| dc.identifier.other | 10.1016/j.najef.2017.09.007 | |
| dc.identifier.uri | http://hdl.handle.net/2263/64381 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2017 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 42, pp. 640-653. 2017. doi : 10.1016/j.najef.2017.09.007. | en_ZA |
| dc.subject | Real estate investment trust (REIT) | en_ZA |
| dc.subject | Monetary policy | en_ZA |
| dc.subject | Macroeconomic surprises | en_ZA |
| dc.subject | International REITs | en_ZA |
| dc.subject | Time-varying model | en_ZA |
| dc.title | The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises | en_ZA |
| dc.type | Postprint Article | en_ZA |