TY - JOUR
T1 - The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments
T2 - Evidence From VARs With Functional Shocks
AU - Wang, Shixuan
AU - Gupta, Rangan
AU - Bonato, Matteo
AU - Cepni, Oguzhan
N1 - Epub ahead of print. Published online: 20 February 2024.
PY - 2024/2/20
Y1 - 2024/2/20
N2 - 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.
AB - 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.
KW - US REITs
KW - Intraday data
KW - Higher-moments
KW - Conventional and unconventional monetary policies
KW - VAR with functional shocks
KW - US REITs
KW - Intraday data
KW - Higher-moments
KW - Conventional and unconventional monetary policies
KW - VAR with functional shocks
U2 - 10.1007/s11146-024-09978-z
DO - 10.1007/s11146-024-09978-z
M3 - Journal article
SN - 0895-5638
JO - The Journal of Real Estate Finance and Economics
JF - The Journal of Real Estate Finance and Economics
ER -