Market States and the Effect on Equity REIT Returns Due to Changes in Monetary Policy Stance

Posted: 25 Aug 2012

See all articles by Ming-Chi Chen

Ming-Chi Chen

National Sun Yat-sen University - Department of Finance

Chi-Lu (Edward) Peng

Chung Hua University - Department of Finance; National Sun Yat-sen University

So-De Shyu

National Sun Yat-Sen University

Jhih-Hong Zeng

Independent

Multiple version iconThere are 2 versions of this paper

Date Written: 2012

Abstract

This study investigates the effect of changes in monetary policy on US equity real estate investment trust (EREIT) returns in lower and higher return ranges during bull, bear, and volatile stock market states using quantile regression. Results show that EREIT returns are sensitive to changes in monetary policy at different EREIT return ranges in different market states. During bull markets, changes in monetary policy have a significant negative impact on EREIT when investors have lower expectations of real estate price increases, but are not effective when investors have higher expectations of real estate price increases. During volatile and bear markets, EREIT returns are not sensitive to changes in monetary policy stance. Results also show that EREIT returns respond positively to stock returns in various states and conditions.

Keywords: Real estate investment trust (REIT), Monetary policy, Quantile regression, Macroeconomic factors

Suggested Citation

Chen, Ming-Chi and Peng, Chi-Lu and Shyu, So-De and Zeng, Jhih-Hong, Market States and the Effect on Equity REIT Returns Due to Changes in Monetary Policy Stance (2012). Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012, Available at SSRN: https://ssrn.com/abstract=2135049

Ming-Chi Chen (Contact Author)

National Sun Yat-sen University - Department of Finance ( email )

No.70, Lianhai Rd., Gushan District,
Kaohsiung City
Taiwan

HOME PAGE: http://cm.nsysu.edu.tw/~mcchen/index.html

Chi-Lu Peng

Chung Hua University - Department of Finance ( email )

No. 707, Sec. 2, WuFu Road
Hsinchu, Taiwan 300
Taiwan

National Sun Yat-sen University ( email )

No.70, Lianhai Rd., Gushan District,
Kaohsiung City
Taiwan

So-De Shyu

National Sun Yat-Sen University ( email )

No.70, Lianhai Rd., Gushan District,
Kaohsiung City
Taiwan

Jhih-Hong Zeng

Independent ( email )

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