The Impact of Unconventional Monetary Policy Shocks in the U.S. on Emerging Market REITs

Abstract

Abstract In this paper, we estimate a qualitative vector autoregression (Qual VAR) model, in which we combine the binary information of quantitative easing (QE) announcements with an otherwise standard VAR model that includes U.S. and emerging market real estate investment trust (REIT) returns. The Qual VAR uncovers the Federal Reserve's latent, unobservable propensity for QE and generates impulse responses for the emerging market REIT returns. The results show that QE has (strong) positively significant, but short-lived, effects on the returns of emerging market REITs.