{"id":{"repo_id":"mit","oai_identifier":"oai:dspace.mit.edu:1721.1/157083"},"canonical_url":"https://search.dev.ndltd.org/etd/mit/oai:dspace.mit.edu:1721.1/157083","repository":{"repo_id":"mit","name":"MIT","base_url":"https://dspace.mit.edu/oai/request"},"display":{"title":"Impact of Central Bank Real Estate Purchases on Asset Prices","abstract":"This paper estimates the impact of central bank real estate purchases on asset prices, demonstrating an increase of 0.1% to 0.2% of Real Estate Investment Trust (REIT) prices in the hours following a typical intervention of 0.014% of market capitalization. At longer horizons, the purchases do not appear to have a significant aggregate effect. The primary identification strategy exploits the nature of the Bank of Japan’s (BoJ) policy rule, which triggers purchases when the Tokyo Stock Exchange Real Estate Investment Trust index falls below a certain threshold. Alternative research designs that exploit the counter-cyclical nature of the BoJ’s policy rule and cross-sectional variation in the eligibility of REITs for BoJ purchases are also considered. Overall, these findings are inconsistent with the predictions of canonical and recent models of asset pricing.","abstract_html":"This paper estimates the impact of central bank real estate purchases on asset prices, demonstrating an increase of 0.1% to 0.2% of Real Estate Investment Trust (REIT) prices in the hours following a typical intervention of 0.014% of market capitalization. At longer horizons, the purchases do not appear to have a significant aggregate effect. The primary identification strategy exploits the nature of the Bank of Japan’s (BoJ) policy rule, which triggers purchases when the Tokyo Stock Exchange Real Estate Investment Trust index falls below a certain threshold. Alternative research designs that exploit the counter-cyclical nature of the BoJ’s policy rule and cross-sectional variation in the eligibility of REITs for BoJ purchases are also considered. Overall, these findings are inconsistent with the predictions of canonical and recent models of asset pricing.","abstract_has_math":false,"creators":["Batista, Quentin"],"institution":"Massachusetts Institute of Technology","degree_name":"Master","degree_level":null,"degree_discipline":null,"degree_department":"Sloan School of Management","school":null,"contributors":[],"advisors":["Verdelhan, Adrien"],"committee_chairs":[],"committee_members":[],"year":2024,"date_issued":"2024-09","date_published":"2024-09","updated_at":"2026-07-22T22:21:13Z","subjects":[],"languages":[],"rights":["In Copyright - Educational Use Permitted","Copyright retained by author(s)"],"rights_urls":["https://rightsstatements.org/page/InC-EDU/1.0/"],"identifier_entries":[]},"links":{"outbound_url":"https://hdl.handle.net/1721.1/157083","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Verdelhan, Adrien"]},{"key":"dc:contributor.department","label":"Department","values":["Sloan School of Management"]},{"key":"dc:creator","label":"Author","values":["Batista, Quentin"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2024-10-02T17:29:22Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2024-10-02T17:29:22Z"]},{"key":"dc:date.issued","label":"Date","values":["2024-09"]},{"key":"dc:publisher","label":"Institution","values":["Massachusetts Institute of Technology"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Master","Master of Science in Management Research"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:rights","label":"Dc Rights","values":["In Copyright - Educational Use Permitted","Copyright retained by author(s)"]},{"key":"dc:rights.uri","label":"Rights URI","values":["https://rightsstatements.org/page/InC-EDU/1.0/"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["https://hdl.handle.net/1721.1/157083"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This paper estimates the impact of central bank real estate purchases on asset prices, demonstrating an increase of 0.1% to 0.2% of Real Estate Investment Trust (REIT) prices in the hours following a typical intervention of 0.014% of market capitalization. At longer horizons, the purchases do not appear to have a significant aggregate effect. The primary identification strategy exploits the nature of the Bank of Japan’s (BoJ) policy rule, which triggers purchases when the Tokyo Stock Exchange Real Estate Investment Trust index falls below a certain threshold. Alternative research designs that exploit the counter-cyclical nature of the BoJ’s policy rule and cross-sectional variation in the eligibility of REITs for BoJ purchases are also considered. Overall, these findings are inconsistent with the predictions of canonical and recent models of asset pricing."]},{"key":"dc:description.degree","label":"Dc Description Degree","values":["S.M."]},{"key":"dc:title","label":"Title","values":["Impact of Central Bank Real Estate Purchases on Asset Prices"]}]}],"canonical_facts":{"dc:contributor.advisor":["Verdelhan, Adrien"],"dc:contributor.department":["Sloan School of Management"],"dc:creator":["Batista, Quentin"],"dc:date.accessioned":["2024-10-02T17:29:22Z"],"dc:date.available":["2024-10-02T17:29:22Z"],"dc:date.issued":["2024-09"],"dc:description.abstract":["This paper estimates the impact of central bank real estate purchases on asset prices, demonstrating an increase of 0.1% to 0.2% of Real Estate Investment Trust (REIT) prices in the hours following a typical intervention of 0.014% of market capitalization. At longer horizons, the purchases do not appear to have a significant aggregate effect. The primary identification strategy exploits the nature of the Bank of Japan’s (BoJ) policy rule, which triggers purchases when the Tokyo Stock Exchange Real Estate Investment Trust index falls below a certain threshold. Alternative research designs that exploit the counter-cyclical nature of the BoJ’s policy rule and cross-sectional variation in the eligibility of REITs for BoJ purchases are also considered. Overall, these findings are inconsistent with the predictions of canonical and recent models of asset pricing."],"dc:description.degree":["S.M."],"dc:identifier.uri":["https://hdl.handle.net/1721.1/157083"],"dc:publisher":["Massachusetts Institute of Technology"],"dc:rights":["In Copyright - Educational Use Permitted","Copyright retained by author(s)"],"dc:rights.uri":["https://rightsstatements.org/page/InC-EDU/1.0/"],"dc:title":["Impact of Central Bank Real Estate Purchases on Asset Prices"],"dc:type":["Thesis"],"thesis:degree_name":["Master","Master of Science in Management Research"]},"updated_at":"2026-07-22T22:21:13Z"}