Research on non-Traditional Monetary Policy and Asset Price:Empirical analysis of REIT(Real Estate Investment Trust) Market

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K03556
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Meiji University
• Principal Investigator: Ito Takayasu 明治大学, 商学部, 専任教授 (60361888)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: 金融政策 / 資産価格 / REIT / 金利 / 株価

Outline of Final Research Achievements

This research focuses on the real estate investment trust (REIT) market and non-traditional monetary policies in Japan. The increase in stock prices has a positive impact on the REIT market. The increase of interest rates has a negative impact on the REIT market. The negative impact of interest rates is more prominent after the introduction of Abenomics. The Bank of Japan (BOJ) purchases REIT in afternoon sessions after they confirm the decline of the REIT price. Their purchases are effective in the short-term. The three REIT Property Sectors (Office, Residential, and Retail & Logistics) move together in the long-term equilibrium and the transmission effects among them are strong in regard to the monetary policy regimes of quantitative and qualitative easing and in terms of negative interest rate.

Free Research Field

金融・ファイナンス