Date of Submission

7-22-2017

Date of Award

7-22-2018

Institute Name (Publisher)

Indian Statistical Institute

Document Type

Doctoral Thesis

Degree Name

Doctor of Philosophy

Subject Name

Quantitative Economics

Department

Economic Research Unit (ERU-Kolkata)

Supervisor

Sarkar, Nityananda (ERU-Kolkata; ISI)

Abstract (Summary of the Work)

This thesis is basically concerned with studying the various relationships involving REIT returns, inflation, monetary policy variables, and general equity market returns in the USA and the UK markets by considering modeling approaches which allow for either structural breaks or regime-switching behavior in the relationship. Although study of such relationships, especially the one involving inflation and REIT returns, have evoked significant interest amongst researchers, the number of such studies is still very few in number. Moreover, there is an element of ‘puzzle’ embedded in this relationship. Hence, it is imperative as well as interesting that further empirical investigations are done so as to resolve this ‘puzzle’ or what is often termed, in the literature, as ‘anomalous’ nature of this relationship. And the first two works of this thesis essentially tries to do that. The other two research works have been focused on the linkages between REIT returns and monetary policy and other financial variables, respectively.To be more specific, the research problems posed in the first two works essentially take a relook at the anomalous relationship between inflation and REIT returns from two different modeling considerations. The idea is that the anomalous nature of this relationship is essentially due to what can be called ‘misspecification’ of the underlying model. The two aspects of misspecification that appears relevant here are (i) appropriate functional form of the model, and (ii) omission of relevant variables. Keeping this in mind, we have considered two modeling approaches for these studies. The first approach has been applied in Chapter 3 where structural break has been explicitly considered not only for the variables concerned but also in the relations involving these variables, along with inclusion of another variable, called relative price variability.The same anomalous negative relationship has been examined in the second work (Chapter 4) by applying both the observed and unobserved regime switching models with two regimes only. In this study, another relevant macroeconomic variable viz., output growth, has been included. The justification for inclusion of this variable is that output growth may have some direct effects on REIT returns and some indirect effects as well through the influence of relative price variability.The next chapter i.e., Chapter 5 of the thesis examines the interdependences between REIT returns and a monetary policy variable as well as the contemporaneous effect of this monetary policy variable on REIT returns by using structural VAR model. Here interest rate spread has been taken as the monetary policy variable. Qu and Perron (2007) methodology of structural break has been applied to find if there is any structural change in the relationship among the variables involved. Keeping in mind the likely effect of business cycle on this relationship, we have also included output growth, as in the preceding chapter.The last work is a little different from the main focus of the other works done in this thesis. Behaviors of REIT returns and stock returns are closely similar. This Chapter essentially studies their relationship at the level of volatility. More appropriately, the focus here is basically on studying the volatility spillovers as well as volatility-in-mean effect between REIT returns and stock returns by applying bivariate GARCH-M model where the conditional mean is specified by a smooth transition VAR model.

Comments

ProQuest Collection ID: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqm&rft_dat=xri:pqdiss:28843869

Control Number

ISILib-TH458

Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.

DOI

http://dspace.isical.ac.in:8080/jspui/handle/10263/2146

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