Author URLs
Document Type
Article
Publication Date
11-2017
Subject: LCSH
Financial news, Real estate investment trusts
JEL Classification
E44, E52, C32, F42, G14
Disciplines
Economics
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.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
DOI
10.1016/j.najef.2017.09.007
Repository Citation
Marfatia, Hardik; Gupta, Rangan; and Cakan, Esin, "The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises" (2017). Economics & Business Analytics Faculty Publications. 18.
https://digitalcommons.newhaven.edu/economics-facpubs/18
Publisher Citation
Marfatia, H. A., Gupta, R., & Cakan, E. (2017). The international REIT’s time-varying response to the US monetary policy and macroeconomic surprises. The North American Journal of Economics and Finance, 42, 640-653.
Comments
This is the authors' accepted version of the published article. The version of record can be found at http://dx.doi.org/10.1016/j.najef.2017.09.007