The Effect of Inflation and Unemployment on Real Estate Investment Trusts

• Main Authors: Wen-huei Wang, 王玟惠
• Other Authors: Yuh-sheng Horng
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/52110945533629320188

碩士 === 靜宜大學 === 財務金融研究所 === 95 === This empirical study investigates the effect of inflation and unemployment on different types of equity REITs with using vector autoregression model and vector error correction model. Monthly data, from January 1994 to December 2006, has been used in this study. The results show that industrial/office, retail and self storage REITs returns have negative relationship with inflation. Only residential REITs returns can hedge against inflation. It implies that investors can maintain the same level of purchasing power during inflationary period by investing in residential REITs. In addition, change of unemployment has negative relationship with industrial/office REITs returns.