The real estate asset allocation decision: Monetary policy implications
Previous research establishes that Federal Reserve monetary policy influences both stock and bond returns. This research extends past re-search and shows that similar patterns exist for real es-tate investment trust returns. We find that the correlation structure of asset returns changes with alternative mon-etary policy environments. Mean-variance analysis in-dicates that optimal asset allocations differ dramatically in different monetary policy environments, and that the exposure to real estate should be prominent only in ex-pansive environments. Overall, the findings suggest that investors may wish to realign their portfolios in reaction to, or anticipation of, Federal Reserve actions.
Johnson, Robert, "The real estate asset allocation decision: Monetary policy implications" (2001). Faculty Publications. 116.