Impact of Central Bank Real Estate Purchases on Asset Prices
This paper estimates the impact of central bank real estate purchases on asset prices, demonstrating an increase of 0.1% to 0.2% of Real Estate Investment Trust (REIT) prices in the hours following a typical intervention of 0.014% of market capitalization. At longer horizons, the purchases do not ap...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2024
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| Online Access: | https://hdl.handle.net/1721.1/157083 |
| _version_ | 1824458024801009664 |
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| author | Batista, Quentin |
| author2 | Verdelhan, Adrien |
| author_facet | Verdelhan, Adrien Batista, Quentin |
| author_sort | Batista, Quentin |
| collection | MIT |
| description | This paper estimates the impact of central bank real estate purchases on asset prices, demonstrating an increase of 0.1% to 0.2% of Real Estate Investment Trust (REIT) prices in the hours following a typical intervention of 0.014% of market capitalization. At longer horizons, the purchases do not appear to have a significant aggregate effect. The primary identification strategy exploits the nature of the Bank of Japan’s (BoJ) policy rule, which triggers purchases when the Tokyo Stock Exchange Real Estate Investment Trust index falls below a certain threshold. Alternative research designs that exploit the counter-cyclical nature of the BoJ’s policy rule and cross-sectional variation in the eligibility of REITs for BoJ purchases are also considered. Overall, these findings are inconsistent with the predictions of canonical and recent models of asset pricing. |
| first_indexed | 2025-02-19T04:19:19Z |
| format | Thesis |
| id | mit-1721.1/157083 |
| institution | Massachusetts Institute of Technology |
| last_indexed | 2025-02-19T04:19:19Z |
| publishDate | 2024 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/1570832024-10-03T03:46:32Z Impact of Central Bank Real Estate Purchases on Asset Prices Batista, Quentin Verdelhan, Adrien Sloan School of Management This paper estimates the impact of central bank real estate purchases on asset prices, demonstrating an increase of 0.1% to 0.2% of Real Estate Investment Trust (REIT) prices in the hours following a typical intervention of 0.014% of market capitalization. At longer horizons, the purchases do not appear to have a significant aggregate effect. The primary identification strategy exploits the nature of the Bank of Japan’s (BoJ) policy rule, which triggers purchases when the Tokyo Stock Exchange Real Estate Investment Trust index falls below a certain threshold. Alternative research designs that exploit the counter-cyclical nature of the BoJ’s policy rule and cross-sectional variation in the eligibility of REITs for BoJ purchases are also considered. Overall, these findings are inconsistent with the predictions of canonical and recent models of asset pricing. S.M. 2024-10-02T17:29:22Z 2024-10-02T17:29:22Z 2024-09 2024-08-22T19:43:17.655Z Thesis https://hdl.handle.net/1721.1/157083 In Copyright - Educational Use Permitted Copyright retained by author(s) https://rightsstatements.org/page/InC-EDU/1.0/ application/pdf Massachusetts Institute of Technology |
| spellingShingle | Batista, Quentin Impact of Central Bank Real Estate Purchases on Asset Prices |
| title | Impact of Central Bank Real Estate Purchases on Asset Prices |
| title_full | Impact of Central Bank Real Estate Purchases on Asset Prices |
| title_fullStr | Impact of Central Bank Real Estate Purchases on Asset Prices |
| title_full_unstemmed | Impact of Central Bank Real Estate Purchases on Asset Prices |
| title_short | Impact of Central Bank Real Estate Purchases on Asset Prices |
| title_sort | impact of central bank real estate purchases on asset prices |
| url | https://hdl.handle.net/1721.1/157083 |
| work_keys_str_mv | AT batistaquentin impactofcentralbankrealestatepurchasesonassetprices |