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 - Das, Mahamrita (Kolkata: Indian Statistical Institute, 2017)
Introduction And Review Of Literature -- Data And Some Important Characteristics -- Relationship Between Reit Returns And Inflation: An Approach With Structural Breaks -- Relationship Between Reit Returns And Inflation In Presence Of Relative Price Variability And Output Growth: A Regime-Switching Approach -- Interdependences Between Reit Returns, A Monetary Policy Variable And Output Growth: A Structural Var Analysis -- Mean And Volatility Spillovers Between Reit And Stocks Returns: A Stvarbtgarch-M Model -- Conclusions
Theswis (Ph.D.) - Indian Statistical Institute, 2017
Guided by Prof. Nityananda Sarkar
Keywords: Macroeconomic Policy; Monetary Policy