Monetary policy and bubbles in US REITs

dc.contributor.authorCaraiani, Petre
dc.contributor.authorCalin, Adrian C.
dc.contributor.authorGupta, Rangan
dc.date.accessioned2020-02-04T08:15:10Z
dc.date.available2020-02-04T08:15:10Z
dc.date.issued2021-06
dc.description.abstractIn 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.departmentEconomicsen_ZA
dc.description.librarianhj2020en_ZA
dc.description.urihttp://wileyonlinelibrary.com/journal/irfien_ZA
dc.identifier.citationCaraiani 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.issn1369-412X (print)
dc.identifier.issn1468-2443 (online)
dc.identifier.other10.1111/irfi.12284
dc.identifier.urihttp://hdl.handle.net/2263/73082
dc.language.isoenen_ZA
dc.publisherWileyen_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.subjectBubblesen_ZA
dc.subjectMonetary policyen_ZA
dc.subjectReal estate investment trust (REIT)en_ZA
dc.subjectVector autoregression (VAR)en_ZA
dc.titleMonetary policy and bubbles in US REITsen_ZA
dc.typePreprint Articleen_ZA

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