Two essays on real estate economics and finance

Duran, Murat
This thesis presents two studies on real estate economics and finance which are separate but interrelated. The first chapter investigates the transmission of monetary policy to real estate-related industries in Turkey by estimating the effect of policy decisions on the stock prices of real estate-related industries. The study addresses endogeneity and omitted variable problems inherent in the relationship between stock prices and monetary policy by employing a heteroskedasticity based identification set-up. The empirical results indicate that the impact of monetary policy on the real estate-related industries is strong and the identification set-up employed in the study weakly improves the results obtained by using the straightforward event study approach which is widely used in the related literature. The second chapter assesses the short-run inflation hedging ability of Turkish real estate investment trusts (REIT) by estimating the response of REIT returns to changes in inflation using individual firm data, aggregated index data and panel data. The specification used in the study allows asymmetry in the responses of REIT returns to increases and decreases in the inflation. Empirical results indicate that allowing for asymmetric responses significantly improves the estimations and Turkish REITs act as perverse hedges against rising inflation. On the contrary, Turkish REITs depreciate when inflation decreases.


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Citation Formats
M. Duran, “Two essays on real estate economics and finance,” M.S. - Master of Science, Middle East Technical University, 2013.