Monetary policy and listed real estate assets: an empirical analysis
Cosimati, Federico (A.A. 2024/2025) Monetary policy and listed real estate assets: an empirical analysis. Tesi di Laurea in Real estate finance, Luiss Guido Carli, relatore Gaetano Casertano, pp. 76. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Literature review. What is listed real estate? Listed vs direct real estate. Financial characteristics of REITs. Are REITs equity-like or bond-like? Monetary policy. The Federal Reserve, the FOMC and the policy rate. Core transmission channels from monetary policy to asset prices. Policy transmission to listed real estate: REITs as the bridge to data and methodology. Data and methodology. Data and variable construction. Econometric specifications. Estimation and inference. Empirical results. Policy proxy and measurement choices. EFFR and the target corridor in levels. Preliminary evidence: co-movement and long-run performance. Baseline results. Market-controlled results. Factor-controlled results (FF3 + policy). Lag-augmented results. What can we say about results?
References
Bibliografia: pp. 71-75.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Real estate finance |
| Thesis Supervisor: | Casertano, Gaetano |
| Thesis Co-Supervisor: | Di Giorgio, Giorgio |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 09 Sep 2026 13:28 |
| Last Modified: | 09 Sep 2026 13:28 |
| URI: | https://tesi.luiss.it/id/eprint/46761 |
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