Abstract In this paper, we estimate a qualitative vector autoregression (Qual VAR) model, in which we combine the binary information of quantitative easing (QE) announcements with an otherwise standard VAR model that includes U.S. and emerging market real estate investment trust (REIT) returns. The Qual VAR uncovers the Federal Reserve's latent, unobservable propensity for QE and generates impulse responses for the emerging market REIT returns. The results show that QE has (strong) positively significant, but short-lived, effects on the returns of emerging market REITs.

中文翻译：

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美国非常规货币政策冲击对新兴市场 REITs 的影响

摘要 在本文中，我们估计了一个定性向量自回归 (Qual VAR) 模型，其中我们将量化宽松 (QE) 公告的二元信息与包括美国和新兴市场房地产投资信托 (REIT) 在内的其他标准 VAR 模型相结合。返回。Qual VAR 揭示了美联储潜在的、不可观察的量化宽松倾向，并为新兴市场的 REIT 回报产生冲动反应。结果表明，量化宽松对新兴市场房地产投资信托基金的回报具有（强烈）显着但短暂的影响。