This study investigates whether REITs provide a better hedge against macroeconomic shocks; namely, the impact of the macroeconomy on REITs returns. The methodology of Sims (1980) and its applications: impulse response analysis and variance decomposition are employed to investigate this question. Four NAREIT indexes, including equity, mortgage, hybrid and all REIT are examined.
The results show that discount rate change, with the exception of hybrid REITs, has a negative impact across the other types of REITs. Returns on REITs appear to be unable to hedge against inflation in the short-run. The growth in income only has a negative impact on the return of hybrid and all REITs whereas the default risk has an insignificant impact across the four types of REITs. For any of the REITs, the primary source of explanation to the forecast error is itself.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0808107-165420 |
| Date | 08 August 2007 |
| Creators | Huang, Wen-ling |
| Contributors | none, none, none |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0808107-165420 |
| Rights | not_available, Copyright information available at source archive |
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