The Relationship between REITs Returns and Inflation: A Vector Error Correction Approach
Journal
Review of Quantitative Finance and Accounting
Journal Volume
16
Journal Issue
2
Date Issued
2001-01-01
Author(s)
So, Raymond W.
Abstract
Previous studies show that REITs returns and inflation are negatively related. This paper reexamines this perverse inflation hedge phenomenon by investigating the relationship among REITs returns, real activities, monetary policy and inflation through a Vector Error Correction Model. Empirical results show that inflation does not Granger-cause REITs returns and that REITs returns signal changes in monetary policy. The observed negative relationship between REITs returns and inflation is merely a proxy for the more fundamental relationship between REITs returns and other macroeconomic variables. © 2001 Kluwer Academic Publishers.
Subjects
Perverse inflation hedge | Real estate investment trusts | VECM
SDGs
Type
journal article