The effects of conventional and unconventional monetary policy shocks on US REITs moments: evidence from VARs with functional shocks

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dc.contributor.author Wang, Shixuan
dc.contributor.author Gupta, Rangan
dc.contributor.author Bonato, Matteo
dc.contributor.author Cepni, Oguzhan
dc.date.accessioned 2024-12-06T07:05:46Z
dc.date.available 2024-12-06T07:05:46Z
dc.date.issued 2024
dc.description DATA AVAILABILITY : The data that support the findings of this study are derived from proprietary sources. Specifically, this research utilized REIT data obtained from the Bloomberg Terminal. Due to the proprietary nature of this data, it is not publicly available. However, the specific Bloomberg tickers used in the analysis are available from the corresponding author upon request. en_US
dc.description.abstract We use a vector autoregressive model with functional shocks, capturing the shift of the entire term structure of interest rates on monetary policy announcement dates, to empirically evaluate the effects of conventional and unconventional monetary policy decisions on the Real Estate Investment Trusts (REITs) markets of the United States (US). Using 5-min interval intraday data, we analyze not only the impact on REITs returns, but also its realized variance (RV), realized jumps (RJ), realized skewness (RSK), and realized kurtosis (RKU) over the daily period of September 2008 to June 2021. While the effects of conventional monetary policy shocks on the moments of REITs returns tend to conform with economic theories, the same is not necessarily the case with unconventional monetary policy shocks. In addition, though monetary policy shocks have the most persistent and strongest effects on RJ, the extreme behaviour of the REITs market is also observed through RSK and RKU. Moreover, when we look into 10 REITs sectors, there is indeed heterogeneity in terms of the strength of the effect, but not so much in terms of the sign of responses of the various moments compared to the overall market. Our results have important implications for REITs market participants, given its exponential growth as an asset class. en_US
dc.description.department Economics en_US
dc.description.librarian hj2024 en_US
dc.description.sdg SDG-08:Decent work and economic growth en_US
dc.description.uri https://link.springer.com/journal/11146 en_US
dc.identifier.citation Wang, S., Gupta, R., Bonato, M. et al. The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks. Journal of Real Estate Finance and Economics (2024). https://doi.org/10.1007/s11146-024-09978-z. en_US
dc.identifier.issn 0895-5638 (print)
dc.identifier.issn 1573-045X (online)
dc.identifier.other 10.1007/s11146-024-09978-z
dc.identifier.uri http://hdl.handle.net/2263/99790
dc.language.iso en en_US
dc.publisher Springer en_US
dc.rights © The Author(s) 2024. Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License. en_US
dc.subject Real estate investment trusts (REITs) en_US
dc.subject United States (US) en_US
dc.subject US REITs en_US
dc.subject Intraday data en_US
dc.subject Higher-moments en_US
dc.subject Conventional monetary policy en_US
dc.subject Unconventional monetary policy en_US
dc.subject VAR with functional shocks en_US
dc.subject Vector autoregressive (VAR) en_US
dc.subject SDG-08: Decent work and economic growth en_US
dc.title The effects of conventional and unconventional monetary policy shocks on US REITs moments: evidence from VARs with functional shocks en_US
dc.type Article en_US


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