Abstract
This paper examined the relationship between the Nigerian Real Estate Investment Trusts (N-REITs) and Money Market Indicators (MMIs) which comprise of: Currency in Circulation (CIC), Broad Money Supply (BMS), Corporate-private Sector (CPS), Prime Lending Rate (PLR) and Treasury Bill Rate (TBR). Data for the N-REITs were sourced from the annual published report of SkyeREIT (an indirect real estate investment vehicle of Skye Shelter Fund Plc), while that of the MMI were sourced from the quarterly published bulletins of the Central Bank of Nigeria (CBN) and the National Bureau of Statistics (NBS) for the period 2008-2017. The study adopted the Co-integration test, Vector Autoregressive (VAR) and Vector Error Correction Model (VECM). The data collected passed the stationary test at p-value of p<0.05 which implies that the data is fit for Granger Causality Model (GSM) in a VAR environment. The co-integration test at 5% confidence level shows the existence of a partial long-run relationship at p-values of 0.0003, 0.0292 and 0.0297 respectively at the first three orders, while the Max-Eigen rank test was significant at the first order (none) with a p-value of 0.005. The results of the VAR and VEC models showed that CPS, PLR and TBR, with chi-square values of 11.748; 16.589; and 34.778 respectively, significantly affected the performance of N-REITs, while the PLR (4.5798) had a long-run significant effect. The findings provide decision caution for investors, analysts and capital market players when considering investment on securitised real estate assets.
Highlights
Monetary policy is part of macroeconomic policy
This paper examined the relationship between the Nigerian Real Estate Investment Trusts (NREITs) and Money Market Indicators (MMIs) which comprise of: Currency in Circulation (CIC), Broad Money Supply (BMS), Corporate-private Sector (CPS), Prime Lending Rate (PLR) and Treasury Bill Rate (TBR)
MMIs is significant, while in the long-run only PLR shows a significant prediction. This is a pioneering study on the predictive effect of MMIs on REIT dividend returns in Nigeria adopting the Co-integration Test and G-Causality Test
Summary
Monetary policy is part of (and a tool of) macroeconomic policy. It is a set of measures and policies that is used to influence money supply through various adjustments of requirements for bank reserves, interest rates, open market operations and sale of government investment options and foreign exchange. The Central Bank of Nigeria (CBN), which was established in 1958, has been saddled with the responsibility of creating monetary policy for Nigeria. The monetary policy of a nation is either an expansionary or contractionary economic measure taken by the central bank or other agencies to administrate the supply of money and interest rates so as to influence output, employment and prices, with a view to achieving the macroeconomic objectives of the government. The CBN is primarily responsible for the management of the monetary policy in the country
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