The impact of macroeconomic factors on the performance of European REIT markets: An empirical analysis of macroeconomic influences on the British, French and Belgian REIT indexes from 2007-2017

Sammanfattning: The concept of real estate investment trust has been first introduced in the US market in 1960. However, it has not been until the last decade that we have seen the increased adoption of the concept around the world. Although REITs have become a highly discussed topic in Europe, given the limited historical data the topic is still lacking academic literature that would analyze REIT performance in the context of the region-specific environment. The study aims to investigate both short-term and long-term relationships between the European REIT markets and their respective macroeconomic factors that include short-term, long-term interest rate, inflation, GDP, money supply, industrial production and government expenditure. The data include REIT index price for the UK, France, and Belgium and their macroeconomic variables in the period from Sep-2007 till Dec-2017. The integration between REIT performance and macroeconomic factors is examined through Johansen's cointegration test and Granger causality test. The results show that industrial production has proven to have a significant long-term relationship with REIT index in the UK and France, as well as a significant short-term relationship with Belgium REIT index. Furthermore, France and Belgium have shown country-specific short-term relationships, which include GDP and government expenditure for France, and long-term and short-term interest rate for Belgium.