<p>This study analyzes how monetary policy is associated with financial stress in the Australian real estate investment trust market, with emphasis on state dependence and endogeneity. Although prior research documents links between monetary policy and REIT returns or volatility, less is known about how these relationships vary across macro-financial states when stress is measured continuously. Using daily data from 2001 to 2024, financial stress is proxied by conditional volatility from a single-regime GARCH model, transformed into a bounded continuous indicator. Tobit and instrumental-variable Tobit models relate this measure to the cash rate and short- and long-term government bond yields, with slope coefficients allowed to differ across Crisis, Covid, and Post-Covid periods. To address endogeneity, domestic policy-rate variables are instrumented using a shadow short rate with state-dependent interactions. Results show that policy-rate levels are negatively associated with REIT stress on average after controlling for macro-financial conditions and endogeneity. However, this association is strongly state-dependent. During crisis-related periods, the marginal relationship becomes less negative and can turn positive, indicating greater stress sensitivity to policy conditions in fragile environments. These patterns are consistent with financial-friction mechanisms involving balance-sheet constraints, liquidity pressures, and collateral valuation effects. Additional controls indicate that a steeper yield curve and higher property prices are associated with lower stress. The findings highlight that monetary-policy REIT stress linkages are nonlinear and state-contingent. Recognizing this heterogeneity is important for evaluating policy transmission and for managing risk in listed real estate markets.</p>