Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991

Abstract

This paper explores the relationship between the macroeconomy and real estate returns. Equity REIT data are used as a proxy for real estate returns; however, the equity REIT returns are regressed against returns from the Standard and Poors 500 Stock Index, saving the residuals. These residuals, known as extra-market covariance, are used in the analysis since this technique controls for the covariance between equity REIT returns and the overall stock market. Thus, the residuals represent pure industry effects. The residuals are then employed in an unrestricted vector autoregressive model with the macroeconomic variables to test for relationships. The results show that prices, nominal rates, output and investment all directly influence the real estate series. Nominal interest rates, moreover, explain the majority of the variation in the real estate series.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 185 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.