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Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector

doi: 10.3390/su11102776
handle: 2263/74917
Unlike the existing literature, which primarily studies the impact of only monetary policy shocks on real estate investment trusts (REITs), this paper develops a change-point vector autoregressive (VAR) model and then analyzes, for the first time, regime-specific impact of demand, supply, monetary policy, and spread yield shocks, identified using sign-restrictions, on US REITs returns. The model first isolates four major macroeconomic regimes in the US since the 1970s and discloses important changes to the statistical properties of REITs returns and its responses to the identified shocks. A variance decomposition analysis revealed aggregate supply shocks to have dominated in the early part of the sample period, and monetary policy and spread shocks at the end. Our results imply that ignoring other possible shocks in the model is likely to lead to incorrect inferences, and over-reliance on (conventional) monetary policy in correcting for possible bubbles in the REITs sector, which it will fail to rectify, given the importance of other shocks driving the REITs sector.
- Asian University Taiwan
- Asian University Taiwan
- China Medical University Hospital Taiwan
- Hang Seng Management College China (People's Republic of)
- Northeast Normal University China (People's Republic of)
Environmental effects of industries and plants, US REITs sector, Real estate investment trust (REIT), TJ807-830, TD194-195, Renewable energy sources, Environmental sciences, Macroeconomic shocks, Vector autoregressive (VAR), Change-point VAR model, 339, United States (US), GE1-350, change-point VAR model, macroeconomic shocks
Environmental effects of industries and plants, US REITs sector, Real estate investment trust (REIT), TJ807-830, TD194-195, Renewable energy sources, Environmental sciences, Macroeconomic shocks, Vector autoregressive (VAR), Change-point VAR model, 339, United States (US), GE1-350, change-point VAR model, macroeconomic shocks
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