Cepni, OguzhanDul, WiehanGupta, RanganWohar, Mark E.2022-01-182022-01-182021-12Cepni, O., Dul, W., Gupta, R. et al. 2021, 'The dynamics of U.S. REITs returns to uncertainty shocks : a proxy SVAR approach', Research in International Business and Finance, vol. 58, art. 101433, pp. 1-22.0275-531910.1016/j.ribaf.2021.101433http://hdl.handle.net/2263/83374This paper investigates the impact of uncertainty shocks on REITs returns over a monthly period from 1972:01 to 2015:12, and sub-samples from 1972:01 to 2009:06, and 2009:07 to 2015:12, to accommodate for the possible effects of the Global Financial Crisis (GFC) and unconventional monetary policy decisions. We use the recently-proposed variations in the price of gold, around events associated with unexpected changes in uncertainty as an instrument to identify uncertainty shocks in a proxy Structural Vector Autoregressive (SVAR) model. Moreover, to control for news-related effects associated with these events, uncertainty and news shocks are jointly identified based on a set-identified proxy SVAR, as recently suggested in the VAR literature. Our results show that the uncertainty shock generates a larger negative impact on REITs returns over the post-GFC period to the extent that it also outweighs the impact of the otherwise dominant news (productivity) shocks. In addition, the impulse response dynamics related to the recursively identified uncertainty shock, as is standard in the literature, resembles the effects of a news shock, and somewhat contrary to intuition suggests that the impact of the uncertainty shock on REITs returns were higher during the pre-GFC era.en© 2021 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. 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 Research in International Business and Finance, vol. 58, art. 101433, pp. 1-22, 2021. doi : 10.1016/j.ribaf.2021.101433.U.S. REITsProxy SVAR modelReal estate investment trust (REIT)Structural vector autoregressions (SVAR)UncertaintyMonetary policy regimesGlobal financial crisis (GFC)Preprint Article