Monetary Shocks and REIT Returns

24 Pages Posted: 12 Jun 2006

See all articles by Don Bredin

Don Bredin

University College Dublin (UCD) - Department of Banking & Finance

Gerard O'Reilly

Central Bank & Financial Services Authority of Ireland

Simon Stevenson

City University London - The Business School

Multiple version iconThere are 2 versions of this paper

Date Written: June 2006

Abstract

We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT's). Although a number of studies have investigated the issue of interest rate changes, the effect of unanticipated changes has not previously been addressed in terms of possible effects on both REIT's returns and volatility. The results show a strong response in both the first and second moments of REIT returns to unexpected policy rate changes. The results for the impact of the shock on both mean and volatility of returns is consistent with results from studies addressing broader equity markets. However, we find evidence both against behavioral changes in volatility coincident to US monetary policy decisions and asymmetric responses to the monetary policy shock.

Suggested Citation

Bredin, Don and O'Reilly, Gerard and Stevenson, Simon, Monetary Shocks and REIT Returns (June 2006). Cass Business School Research Paper, Available at SSRN: https://ssrn.com/abstract=907444 or http://dx.doi.org/10.2139/ssrn.907444

Don Bredin

University College Dublin (UCD) - Department of Banking & Finance ( email )

School of Business
Blackrock, Co. Dublin, 4
Ireland

HOME PAGE: http://www.ucd.ie/bankingfinance/staff_bredin.html

Gerard O'Reilly

Central Bank & Financial Services Authority of Ireland ( email )

P.O. 559 Dame Street
Dublin 2, D2
Ireland

Simon Stevenson (Contact Author)

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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