CHIU-LING LUSo, Raymond W.Raymond W.So2019-10-022019-10-022001-01-010924865Xhttps://scholars.lib.ntu.edu.tw/handle/123456789/425849Previous 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.Perverse inflation hedge | Real estate investment trusts | VECM[SDGs]SDG8journal article10.1023/A:10112257234002-s2.0-3543028978https://api.elsevier.com/content/abstract/scopus_id/3543028978