Analysis of the impact of macroeconomic factors on the performance of REITs in the United States

This work examines the relationship between REITs (Real Estate Investment Trusts) and selected macroeconomic factors in the United States. Using data from the Fed and Nareit (Q1 2000 – Q3 2023), a model was created to test the chosen hypotheses. These hypotheses anticipate a positive impact from the growth of CPI, interest rates, HPI, and a negative impact from unemployment. The hypotheses were evaluated based on the outputs of the AR(1) model. The obtained results confirm the stated hypotheses, showing that increases in price levels, interest rates, and house prices enhance the performance of REITs, while an increase in the unemployment rate reduces their performance. The analysis provides practical insights that can help investors better understand the dynamics of the real estate investment trust market. Unlike previous literature, which often focused solely on individual macroeconomic factors, this work combines multiple variables to obtain a more comprehensive view of the market and employs the AR(1) model, which had not been used in prior studies examining REITs.