Revisiting the Anomalous Relationship between Inflation and Real Estate Investment Trust Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK

Authors

  • Mahamitra Das Xavier University Bhubaneswar
  • Nityananda Sarkar Indian Statistical Institute

Abstract

In this paper we have re-investigated the frequently observed anomalous negative relationship between inflation and REIT returns for two most important economies viz., the USA and the UK by addressing two aspects of misspecification: inappropriate functional form and omission of relevant variable. We have found that the anomalous relationship between REIT and inflation appear to proxy for the significant effect of relative price variability on REIT returns in both the countries. Further, it is evidenced that the effect of relative price variability on real estate investment trust (REIT) returns is not stable over time in case of the USA while in the UK there is no structural change in the relationship.

Keywords:  REITs; Relative price variability; Inflation; Structural breaks.

JEL Classifications: E31; G12; R3.

DOI: https://doi.org/10.32479/ijefi.9013

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Author Biographies

Mahamitra Das, Xavier University Bhubaneswar

Assistant Professor, Xavier School of Economics

Nityananda Sarkar, Indian Statistical Institute

Professor in Economics, Economic Research Unit of Indian Statistical Institute Kolkata

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Published

2020-01-24

How to Cite

Das, M., & Sarkar, N. (2020). Revisiting the Anomalous Relationship between Inflation and Real Estate Investment Trust Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK. International Journal of Economics and Financial Issues, 10(1), 250–258. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/9013

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