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The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises

Author

Listed:
  • Hardik A. Marfatia

    (Department of Economics, Northeastern Illinois University, USA)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, South Africa)

  • Esin Cakan

    (Department of Economics, University of New Haven, USA)

Abstract
International real estate markets and the ever increasing role of the U.S. economic and policy developments has 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 countries and across time in the role 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. on the global REIT stock returns.

Suggested Citation

  • Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2017. "The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises," Working Papers 201712, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201712
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    More about this item

    Keywords

    Monetary Policy; Macroeconomic Surprises; International REITs; Time-Varying Model;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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