Do oil-price shocks predict the realized variance of U.S. REITs?

dc.contributor.authorBonato, Matteo
dc.contributor.authorCepni, Oguzhan
dc.contributor.authorGupta, Rangan
dc.contributor.authorPierdzioch, Christian
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2022-03-11T06:55:55Z
dc.date.available2022-03-11T06:55:55Z
dc.date.issued2021-12
dc.description.abstractWe examine, using aggregate and sectoral U.S. data for the period 2008–2020, the predictive power of disentangled oil-price shocks for Real Estate Investment Trusts (REITs) realized market variance via the heterogeneous auto-regressive realized variance (HAR-RV) model. In-sample tests show that demand and financial-market-risk shocks contribute to a larger extent to the overall fit of the model than supply shocks, where the in-sample transmission of the impact of the shocks mainly operates through their significant effects on realized upward (“good”) variance. Out-of-sample tests corroborate the significant predictive value of demand and financial-market-risk shocks for realized variance and its upward counterpart at a short, medium, and long forecast horizon, for various recursive-estimation windows, for realized volatility (that is, the square root of realized variance), for a shorter sub-sample period that excludes the recent phase of exceptionally intense oil-market turbulence, and for an extended benchmark model that features realized higher-order moments, realized jumps, and a leverage effect as control variables. We also study a quantiles-based extension of the HAR-RV model, and we analyze the economic benefits of using shocks for realized-variance forecasting.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.librarianhj2022en_ZA
dc.description.urihttp://www.elsevier.com/locate/enecoen_ZA
dc.identifier.citationBonato, M., Çepni, O., Gupta, R. et al. 2021, 'Do oil-price shocks predict the realized variance of U.S. REITs?', Energy Economics, vol. 104, art. 105689, pp. 1-19, doi : 10.1016/j.eneco.2021.105689.en_ZA
dc.identifier.issn0140-9883 (print)
dc.identifier.issn1873-6181 (online)
dc.identifier.other10.1016/j.eneco.2021.105689
dc.identifier.urihttp://hdl.handle.net/2263/84440
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2021 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Energy Economics, vol. 104, art. 105689, pp. 1-19, 2021. doi : 10.1016/j.eneco.2021.105689.en_ZA
dc.subjectOil price shocksen_ZA
dc.subjectReal estate investment trust (REIT)en_ZA
dc.subjectRealized varianceen_ZA
dc.subjectForecastingen_ZA
dc.subjectHeterogeneous autoregressive realized variance (HAR-RV)en_ZA
dc.titleDo oil-price shocks predict the realized variance of U.S. REITs?en_ZA
dc.typePreprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Bonato_Do_2021.pdf
Size:
688.15 KB
Format:
Adobe Portable Document Format
Description:
Preprint Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description: