The Impact of Monetary Policy on REITs: Evidence from FOMC Announcements

Carlo Rosa
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Abstract

This paper examines the response of equity and mortgage REITs to changes in the stance of monetary policy using an event study with intraday data. Monetary news around Federal Reserve’s announcements are decomposed into three types of surprise: changes in the current federal funds target rate, forward guidance and large-scale asset purchases. Estimation results show that monetary surprises have economically important and significantly negative effects on equity REITs. Around monetary announcements equity REIT returns are mostly spanned by US common stocks, while mortgage REITs maintain some distinct exposure to interest rate risks.

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货币政策对房地产投资信托的影响:来自 FOMC 公告的证据
本文利用盘中数据进行事件研究,探讨股票和抵押房地产投资信托基金对货币政策立场变化的反应。围绕美联储公告的货币新闻被分解为三种类型的意外:当前联邦基金目标利率的变化、前瞻性指引和大规模资产购买。估计结果表明,货币意外对股票型房地产投资信托基金具有重要的经济负面影响。在货币政策公布前后,股票型房地产投资信托基金的回报率主要受美国普通股的影响,而抵押型房地产投资信托基金则明显面临利率风险。
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