Basic Search / Detailed Display

Author: 吳得剛
Rodrigo Uriarte Figuered
Thesis Title: The effect of unconventional monetary policy on Mortgage REITs performance.
The effect of unconventional monetary policy on Mortgage REITs performance.
Advisor: 張光第
Guang-di Zhang
Committee: 劉代洋
Day-Yang Liu
Jian-ping Xie
Chun-Nan Chen
Degree: 碩士
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2022
Graduation Academic Year: 110
Language: 英文
Pages: 33
Keywords (in Chinese): mortgageREIT
Keywords (in other languages): mortgage, REIT
Reference times: Clicks: 713Downloads: 8
School Collection Retrieve National Library Collection Retrieve Error Report

  • This paper examines whether the unconventional monetary policy has a nonlinear effect on the mortgage real estate investment trust (REIT) in the US market. Empirically we utilize a standard VAR model in addition to a Granger Causality test and Impulse response function, to identify the time-varying effects between our variables. Our results from the dynamics of the Impulse response show that a shock in the unconventional monetary policy variables will have only a miniscule response on the performance variables. Providing evidence to the neutrality of Mortgage REITs to unconventional monetary policies.

    Table of Contents Abstract 2 1. Introduction 5 2. Literature Review 7 3. Methodology 11 4. Variables and Data 14 4.1. REITs performance 14 4.2. Unconventional monetary policy 14 4.3. Changes in y the real economy 16 5. Empirical Results y 17 5.1. Unit root test 17 5.2. Granger y Causality tests 17 5.2.1. Relationship between unconventional monetary policy variables and all Mortgage REITs performance variables. 17 5.1.2. Relationship between unconventional monetary policy variables and Home Financing sub sector of Mortgage REITs performance variables. 18 5.1.3. Relationship between y unconventional monetary policy variables and Commercial Financing sub sector of Mortgage REITs performance variables. 19 5.2. Impulse response y function analysis 20 5.2.1. Response of all Mortgage REITs to unconventional monetary policy. 21 5.2.2. Response of Home Financing sub-sector to unconventional monetary policy. 23 5.2.3. Response of Commercial Financing sub-sector to unconventional monetary policy. 25 6. Conclusion 27 Reference 29

    Ambrose, B., Capone, C. 1998 Modeling the Conditional Probability of Foreclosure in the Context of Single-Family Mortgage Default Resolutions. Real Estate Economics. 26, 391-429.
    Bauer, M., Rudebush, G. 2031. Monetary policy expectation at the zero lower bound. Journal of Money, Credit and Banking. 48, 1439-1465.
    Bredin, D., O’Reilly, G., 2011. Monetary policy transmission and real estate investment trusts. International journal of finance and economics. 16, 92-102.
    Cepni O., Dul W., Gupta R., Wohar M., 2021. The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach, Research in International Business and Finance, 58.
    Chandrashekaran V. 1999. Time-series properties and diversification benefits of REIT returns. J Real Estate Res. 17, 91 – 112.
    Chen, K., Tzang, D. 1988. Interest-rate sensibility of real estate investment trust. Journal of Real Estate. 3, 13-22.
    Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057–1072.
    Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813–836.
    Ewing, B., Payne, J., 2005. The response of real estate investment trust returns to macroeconomic shocks. Jornal of Business research. 58, 293-300.
    Fatnassi, I., Slim, C., Ftiti, Z., Maatoug, A., 2014. Effects of monetary policy on the REIT returns: Evidence from the United Kingdom, Research in International Business and Finance. 32, 15-26.
    Gagnon, J., Raskin, M. Remache, J., Sack, B,. 2001. The financial effects of of the Federal Reserve’s large-scale asset purchases. International Jornal of Central Banking. 7, 3-43.
    Granger, C. W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424–438.
    Hamilton, J. D. (1994). Time series analysis. Princeton, NJ: Princeton University Press.
    Hancock, D., Passmore, W. 2011, Did the Federal Reserve's MBS purchase program lower mortgage rates?. Journal of Monetary Economics. 58, 498-514.
    He, L., Webb, J., Neil Myer, F., 2003, Interest Rate Sensitivities of REIT Returns, International Real Estate Review, Vol 03.
    Hung, C., Chen, M., Lin, W., 2014. The relationship with REITs and bank loans: Capital structure perspectives, Finance Research Letters. 11, 140-152.
    Ito, T., 2013. Islamic rate of return and conventional interest rates in the Malaysian deposit market. International journal of Islamic and middle eastern finance and management. 6, 290-303.
    Johansen, S. 1995, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press. Retrieved 12
    Joyce, M., Miles, D., Scott, A., Vayanos, D., 2012, Quantitative Easing and Unconventional Monetary Policy – an Introduction. The Economic Journal, 122, 271-288.
    Kola, K., Kodongo, K., 2017, Macroeconomic risks and REITs returns: A comparative analysis. Research in International Business and Finance. 42, 1228-1243.
    Laopodis, N. 2009. Fiscal policy and stock market efficiency: Evidence for the United States. The quarterly review of Economics and Finance. 49, 633-650.
    Liow, K., Ibrahim, M., Huang, Q., 2006. Macroeconomic risk influence on the property stock market. Journal of property investment and finance. 24, 295-323.
    Mamatzakis, E. Bermpei, T., 2016. What is the effect of unconventional monetary policy on bank performance? Journal of International Money and Finance. Volume 67, 239-263.
    Naranjo, A., Ling, D., 1997. Economic Risk Factor and Commercial Real Estate Returns. The journal of real estate finance and economics. 14, 283-307.
    Ooi, J., Liow, K. 2004. Risk-Adjusted Performance of Real Estate Stocks: Evidence from Developing Markets. Journal of real estate research. 26, 371-396.
    Payne, J. 2003 Shock to macroeconomic state variables and the risk premium of REITs. Applied Economic letters. 10, 671-677.
    Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335–346.
    Scott W., Steiner E., 2018, Unconventional Monetary Policy and Risk-Taking: Evidence from Agency Mortgage REITs, Federal Reserve Bank of Atlanta Working Papers Series, 2018-08.
    Chen, S., Hsieh ,C., Vines T. & Chiou S., 1998. Macroeconomic Variables, Firm-Specific Variables and Returns to REITs. Journal of Real Estate Research. 16, 269-278.
    Todorov, K. 2020. Quantify the quantitative easing: Impact on bonds and corporate debt issuance, Journal of Financial Economics, 135, Issue 2, Pages 340-358.
    Wang, L., 2016, Unconventional monetary policy and aggregate bank lending: Does financial structure matter?, Journal of Policy Modeling, Volume 38, Issue 6, Pages 1060-1077,
    Wang, L. 2019. Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study, The North American Journal of Economics and Finance. 49, 235-251.
    Wright, J., 2012, What does Monetary Policy do to long term interest-rate at the zero-lower bound? The Economic Journal, 122, 447–466.