2026-09-21T07:45:23Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/1570832024-10-03T03:46:32Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
Verdelhan, Adrien
Batista, Quentin
Sloan School of Management
2024-10-02T17:29:22Z
2024-10-02T17:29:22Z
2024-09
2024-08-22T19:43:17.655Z
https://hdl.handle.net/1721.1/157083
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.
Massachusetts Institute of Technology
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https://rightsstatements.org/page/InC-EDU/1.0/
Impact of Central Bank Real Estate Purchases on Asset Prices
Thesis
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Master
Master of Science in Management Research
Publication
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<Abstract>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.</Abstract>
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