The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach

The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach Previous studies show that REITs returns and inflation arenegatively related. This paper reexamines this perverse inflation hedgephenomenon by investigating the relationship among REITs returns, realactivities, monetary policy and inflation through a Vector ErrorCorrection Model. Empirical results show that inflation does notGranger-cause REITs returns and that REITs returns signal changes in monetary policy. The observed negative relationship between REITs returnsand inflation is merely a proxy for the more fundamental relationshipbetween REITs returns and other macroeconomic variables. Review of Quantitative Finance and Accounting Springer Journals

The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach

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Kluwer Academic Publishers
Copyright © 2001 by Kluwer Academic Publishers
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
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