Physical Sciences and Mathematics Commons^™

Modeling Reit Returns With Macroeconomic, Monetary Policy And Financial Variables In The Frameworks Of Structural Break And Regime-Switching Var: Evidence From The Usa And The Uk., Mahamitra Das Dr.

Doctoral Theses

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 …