Estimating the Responses of REIT Returns to Monetary Policy : A Time Varying Markov Regime Switch Model Approach

This paper presents a test of the responses of REIT returns to Federal Reserve policy shocks using a time varying Markov regime switching framework. Following Kuttner (2001) and Gurkaynak et al. (2005), I use high-frequency Federal funds futures data to extract monetary shocks. The model identifies two distinct regimes: high volatility-low return and low volatility-high return. Empirical evidence suggests that monetary action has a larger impact on REIT returns in bear markets. This result supports the credit channel view of monetary transmission

Year of publication:	[2008]
Authors:	Huang, Chin-Wen
Publisher:	[2008]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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