Ankara : The Department of Management, İhsan Doğramacı Bilkent University, 2012.Thesis (Master's) -- Bilkent University, 2012.Includes bibliographical references.The purpose of this thesis is to examine the dynamic relationship between the returns
on Turkish real estate investment trusts (REITs) and macroeconomic variables for the
period between 2000 and 2011. Market returns, industrial production, inflation,
unexpected inflation, overnight interest rate, term premium, and default risk premium
are used as macroeconomic variables in the analysis. The models are estimated for
the whole period, January 2000 – December 2011 as well as for the subperiod
excluding the 2000-2001 crisis. Unrestricted vector autoregressive model, variance
decomposition and generalized impulse response techniques are employed to capture
the feedback mechanism between macroeconomic variables and REIT returns. The
results of the variance decomposition analysis show that macroeconomic variables
explain almost half of the total variation in REIT returns for the whole sample period.
This proportion increases to 63% when the crisis period is eliminated. Although there
is not a dominant factor, industrial production, inflation, market returns and term
structure are found to be important variables to explain the variability of REIT
returns. Generalized impulse response analysis shows that unexpected shocks in the
stock market and default risk premium have positive impact on Turkish REIT returns
whereas unexpected shocks on overnight interest rate and term premium have
negative effect. However, shocks to inflation and industrial production are not found
to have significant impact on REIT returns. Some differences among REITs are
observed depending on whether the major shareholder of the REIT is a bank or a
construction company.Kırdök, Fethiye EzgiM.S
