Issue Information

• DOI: http://doi.org/10.1002/jcaf.22377
• Published date: 01 July 2020
• Date: 01 July 2020

VOLUME 31, NUMBER 3 •July 2020

Blind Peer Reviews

9Long‐term consequences of the 2020 coronavirus pandemics: Historical global‐macro

context

Damir Tokic

The COVID‐19 pandemics is likely to accelerate the trends of de‐globalization and de‐

dollarization. Over the long term, the major financial consequence is likely to be the

accelerated trend of rising inflation and long‐term interest rates. More broadly, the post‐

pandemic environment will likely encompass difficult longer‐term economic and

geopolitical challenges. Alternatively, the COVID‐19 pandemics also creates an opportunity

for building a new trend of more sustainable globalization.

15 Do long‐term swap rate and stock price give an impact on Japanese Real Estate

Investment Trust market under quantitative and qualitative easing and negative interest

rate policy?

Takayasu Ito

An increase in stock price has a positive impact on the Real Estate Investment Trust (REIT)

market, but an increase in interest rate has a negative impact on the REIT market in the

regime of quantitative and qualitative easing (QQE). The wealth effect holds. As for the

impact of interest rate, swap rate of 30 years is larger than that of 20 years in the period of

QQE. On the other hand, all the negative coefficients of stock price are statistically

significant at the 1% level in the period of negative interest rate policy (NIRP). But none of

the negative coefficients of interest rate are significant even at the 10% level. This result is

very rare in the analysis of REIT market not only in Japan, but also in other countries such as

USA. Investors tend to buy REITs to compensate for the sluggish stock market and reduced

gains in the fixed income market. When the Bank of Japan adopts QQE, normal function of

REIT market is maintained. But after they introduce NIRP, normal function of REIT market

is lost. This phenomenon is a negative effect of NIRP.