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

Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521, Rangan, G., Matteo, B. and Oğuzhan, Ç. (2024) 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. ISSN 1573-045X doi: 10.1007/s11146-024-09978-z

Abstract/Summary

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-minute 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.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/114784
Identification Number/DOI	10.1007/s11146-024-09978-z
Refereed	Yes
Divisions	Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
Publisher	Springer
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