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.

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