پاسخ اعتماد سرمایه گذاری در دارایی واقعی به شوک های اقتصاد کلان برمی گردد

To date, there has been considerable concern with evaluating the performance of real estate returns or determining the significance of fundamental state variables. This paper differs from the existing literature by identifying the response of real estate investment trust (REIT) returns to unexpected changes in the real output growth, the inflation, the default risk premium, and the stance of monetary policy utilizing the newly developed technique of generalized impulse response analysis. The generalized impulse response method does not impose a priori restrictions as to the relative importance each of these variables may play in the transmission process. The results show the extent and the magnitude of the relationship between the REIT market and macroeconomic factors. In particular, we find that shocks to monetary policy, economic growth, and inflation all lead to lower than expected returns, while a shock to the default risk premium is associated with higher future returns.

In recent years, interest in the performance of real estate markets and real estate investment trusts (REITs) has become increasingly popular (Chandrashekaran, 1999). The impact that macroeconomic variables have on real estate markets and REITs plays a crucial role in the risk management strategies of financial market participants. In fact, a number of papers support the notion of a relationship among the returns of various asset markets and macroeconomic variables (e.g., Chen et al., 1986, McCue and Kling, 1994, Thorbecke, 1997, Chen et al., 1997 and Chen et al., 1998 to name just a few). However, much of the existing research on real estate and REIT returns tends to focus on identifying important state variables and determining which factors are significantly priced (e.g., Chen et al., 1997, Chen et al., 1998, Chandrashekaran, 1999 and Naranjo and Ling, 1997) or on evaluating return performance (e.g., Brueggeman et al., 1992 and Peterson and Hsieh, 1997). McCue and Kling (1994) examine the time series dynamics of REIT returns by estimating an unrestricted vector autoregressive (VAR) model incorporating the influence of four macroeconomic variables on REIT returns, specifically, prices, nominal short-term interest rates, output, and investment. However, as pointed out by Karolyi and Sanders (1998), an important variable to consider is the default risk premium in explaining REIT returns. Thus, this paper extends the time series work of McCue and Kling (1994) on the influence of the macroeconomy on REIT returns on three basic fronts. First, we examine the impact of default risk premium on REIT returns. Second, following the work of Jensen et. al (1996), we explicitly incorporate the influence of monetary policy shocks in addition to variables reflecting business cycle conditions on REIT returns. Third, to circumvent the “orthogonality assumption” and the corresponding variability of the results due to the ordering of the variables in the VAR models, we employ the generalized impulse response functions developed by Pesaran and Shin (1998) and Koop et al. (1996). This methodology has two advantages over standard impulse response analysis. It does not presuppose any ordering that has theoretical implications and thus does not depend on the researcher's choice of ordering the variables. The methodology also provides meaningful interpretation of the initial impact of shocks, a feature that is missing in the traditional methodology and which might be important in the analysis of financial markets where information is transmitted quickly. A more thorough discussion of generalized impulse response analysis is provided in Section 4. The paper focuses on four fundamental macroeconomic variables thought to affect asset returns. The macroeconomic variables are chosen based on previous findings that have identified the stance of monetary policy, the inflation, the default risk premium, and the real economic activity, as important state variables in asset pricing and REIT returns. The relationship between an index of REIT prices and each of these macroeconomic factors is examined by estimating a five-equation VAR model. In addition to the parameter estimates of the VAR model, the generalized impulse response functions allow us to compare and contrast the effects of unanticipated changes in the macroeconomic factors on the REIT market. The paper employs this recently developed econometric technique of generalized impulse response analysis Koop et al., 1996 and Pesaran and Shin, 1998. An innovation to any of the variables may be interpreted as (unexpected) economic news. In an earlier work, Fleming and Remolona (1999) find that the reactions of the bond markets depend on the unexpected component of a given macroeconomic announcement. Clearly, firms, financial market participants, households, and thus the REIT market, may be affected by movements in any of these variables. Knowledge of what leads to movements in REIT returns and how long shocks may last might be of concern to financial practitioners, real estate investment companies, and academics. This is particularly true because the REIT market is a unique market that, on one hand, shares characteristics of the broad real estate market, and on the other hand, also possesses characteristics of the public stock market. In fact, Chen et. al (1998, p. 270) note that the financial literature indicates that, when compared to ordinary common stocks, REITs “may possess distinct risk-return characteristics.” Adding further justification to why the study of REIT returns is an important endeavor, Chandrashekaran (1999, p. 111) concludes that “REIT stocks may have an important role to play in dynamic asset allocation strategies.”

This paper has examined and documented the response of REIT returns to shocks in four key macroeconomic variables using the newly developed technique of generalized impulse response analysis. The technique is robust in terms of the choice of ordering variables in the VAR, thus, one can accurately examine and compare both the severity and extent of shocks to these variables on the REIT market. The results add to the literature on the relationship between the macroeconomy and REIT returns. By focusing on how macroeconomic shocks affect REIT returns, the paper complements the existing literature that has examined the significance of fundamental state variables and the performance of REIT returns. The paper has identified the magnitude and persistence of unanticipated changes in the monetary policy, the real output, the default risk premium, and the inflation on REIT returns. The results of the paper can be summarized as follows. A monetary policy shock corresponds to lower real estate investment returns. This finding is consistent with a sudden monetary tightening raising real interest rates in the short term and thus adversely affecting real estate market activity. Unanticipated changes in economic growth are associated with a fall in REIT returns. The lagged response is consistent with capacity constraints and other economic pressures that fuel inflation fears. An unexpected rise in the default risk premium raises REIT returns and this is consistent with the idea that when investors have lower expectations of future economic activity they may find equities and bonds relatively less attractive than REITs. Finally, inflation news result in lower REIT returns as would be expected with an aggregate price shock when the prices are slow to adjust.