WFRF:(Axelsson Birger)
Search: WFRF:(Axelsson Birger) > The effect of quant...
- 9 of 32
- Previous record
- Next record
- To hitlist
The effect of quantitative easing and quantitative tightening on U.S. equity REIT returns
-
- Axelsson, Birger (author)
- KTH,Fastighetsekonomi och finans
-
- Song, Han-Suck, 1968- (author)
- KTH,Fastighetsekonomi och finans
- (creator_code:org_t)
- English.
- Other publication (other academic/artistic)
Abstract
Subject headings
Close
- The Federal Reserve (the Fed) has implemented several quantitative easing (QE) programmes to stimulate the U.S. economy and increase the inflation rate after the great financial crisis (GFC) and the COVID-19 crisis. However, when the inflation rate started to increase steeply in 2021, the Fed instead begun to implement quantitative tapering (QT) to cool down the U.S. economy and bring back inflation to it target rate. This study seeks to estimate the effect of the QE and QT programmes on the U.S. equity Real Estate Investment Trusts (REITs) index returns, while controlling for several other important macro-financial factors. The estimations show that the QE programmes significantly contributed to a long period of positive REIT returns, while the recent 2022 QT efforts has contributed significantly to the recent period of negative REIT returns. We also find that the increases in the key macro-financial factors Baa Corporate Bond Yield ad the CBOE volatility index of the U.S. stock market (VIX) result in lower REIT returns, while increases in total bank equity capital of FDIC-Insured Commercial Banks and Savings Institutions contribute to positive REIT returns. We also find that the negative initial REIT return reaction to the COVID-19 outbreak was likely outperformed by the positive impacts of the large combined monetary (QE) and fiscal stimulus packages implemented after the outbreak of the COVID-19 crisis. The findings of this study show that REIT returns are highly sensitive to profound QE and QT programmes through important monetary transmission mechanisms channels such as the interest rate, asset price and risk-taking channels. This research supports REIT investors to understand how the Fed's monetary policy actions, particularly QE and QT programmes, impact the returns of the REIT index, and to adjust their investment strategies accordingly based on their expectations of future monetary policy actions and macro-financial conditions.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
Keyword
- REITs
- Quantitative Easing
- Quantitative Tightening
- Real Estate
- Inflation
Publication and Content Type
- vet (subject category)
- ovr (subject category)
To the university's database
- 9 of 32
- Previous record
- Next record
- To hitlist
Find more in SwePub
- By the author/editor
- Axelsson, Birger
- Song, Han-Suck, ...
- About the subject
-
- SOCIAL SCIENCES
- SOCIAL SCIENCES
- and Economics and Bu ...
- By the university
- Royal Institute of Technology
Search outside SwePub
- Extend your search to:
- Google Book Search
- Google Scholar
Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.
- Copyright © LIBRIS - National Library Systems
- LIBRIS.kb.se
