The Impact of Monetary Policy on REITs: Evidence from FOMC Announcements
利用日内数据的事件研究，分析联邦公开市场委员会公告中三类货币政策意外对权益型和抵押型REITs的影响，发现货币政策意外对权益型REITs有显著负向影响，且其收益主要由普通股票解释，而抵押型REITs对利率风险有独特暴露。
Abstract This paper examines the response of equity and mortgage REITs to changes in the stance of monetary policy using an event study with intraday data. Monetary news around Federal Reserve’s announcements are decomposed into three types of surprise: changes in the current federal funds target rate, forward guidance and large-scale asset purchases. Estimation results show that monetary surprises have economically important and significantly negative effects on equity REITs. Around monetary announcements equity REIT returns are mostly spanned by US common stocks, while mortgage REITs maintain some distinct exposure to interest rate risks.