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首页> 外文期刊>The Journal of real estate finance and economics >An Examination of Macroeconomic Effects on the Liquidity of REITs
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An Examination of Macroeconomic Effects on the Liquidity of REITs

机译：宏观经济对房地产投资信托流动性的影响研究

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摘要

In this research, we investigate the effects of changes in and levels of selected macroeconomic variables on the liquidity of Real Estate Investment Trust (REIT, henceforth) stocks. We study in particular REIT market trading liquidity and REIT funding liquidity. We use debt service coverage ratios, loan-to-value ratios and the number of loans on commercial commitments as proxies for the funding liquidity of REITs. We use Amihud Illiquidity measurement and Turnover Ratio measurement to estimate REIT market trading liquidity. Our results are fourfold: one, funding liquidity is influenced by changes in macroeconomic factors; two, macroeconomic effects are different across phases of the business cycle; three, funding liquidity is significantly positively related to REIT market liquidity (this is supportive of Brunnermeier and Petersen's Review of Financial Studies, 22:2201-2238 (2009) findings); and four, these effects vary across economic regimes. A key outcome of this work is that increases in debt to equity reduce market liquidity for REIT stocks.
机译：在这项研究中，我们调查选定的宏观经济变量的变化和水平对房地产投资信托（REIT，此后）股票流动性的影响。我们特别研究房地产投资信托市场交易流动性和房地产投资信托基金的流动性。我们使用债务偿还率，贷款价值比和商业承诺贷款数量作为REITs资金流动性的代表。我们使用Amihud非流动性度量和周转率度量来估计REIT市场交易的流动性。我们的结果有四个方面：第一，资金流动性受宏观经济因素变化的影响；第二，在整个经济周期的各个阶段，宏观经济影响是不同的；第三，资金流动性与房地产投资信托市场流动性显着正相关（这支持了Brunnermeier和Petersen的《金融研究评论》，22：2201-2238（2009）的发现）；第四，这些影响因经济体制而异。这项工作的主要成果是，债务对权益的增加会减少REIT股票的市场流动性。

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