| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === This study investigates whether the effects of monetary policy exist in the U.S. real estate investment trusts (REITs) market utilizing Markov regime-switching model over the period January 1972 to December 2010. We establish the theoretical framework by the discounted cash flow model to examine the effects of macroeconomic variables on REITs returns, and further to separate into the expected and unexpected monetary policy based on ARIMA model. Then we apply TAR model and MA model to capture the realized effects of change in price level. For the robustness we use money aggregates (M2) and Federal Funds Rate (FFR) as proxies for the stance of monetary policy. The finding indicates that unexpected monetary policy has the asymmetric effects on EREITs returns in high/low price growth period, while the asymmetric effects on MREITs returns are only found in the unexpected change of FFR. Furthermore, the effects of unexpected changes in expansionary monetary policy on EREITs returns and the effects of unexpected reductions in FFR on MREITs returns exhibit asymmetries in high/low price growth period. The findings have an implication for the effects of trade-off relationships between price growth and monetary policy exist in REITs sector. It will explain why REITs returns have inflation-hedging function. In particular, the effects in the high price growth period will be larger than in the low price growth period.
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