Price and Volatility Linkages between International REITs and Oil Markets

Saban Nazlioglu, Rangan Gupta, Alper Gormus () and Ugur Soytas
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Alper Gormus: Texas A&M University–Commerce, Department of Economics and Finance, Commerce, TX, USA
Ugur Soytas: Middle East Technical University, Department of Business Administration, and Earth System Science, 06531 Ankara, Turkey

No 201954, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we use a Quantile Structural Vector Autoregressive (QSVAR) model, estimated over the quarterly period of 1975:Q3 to 2017:Q3, to analyze whether the impact of monetary policy shocks on real housing returns in the United States is contingent on the initial state of housing market sentiment. We find that contractionary monetary policy reduces real housing returns more strongly when the market is characterized by optimism rather than pessimism, with this effect being more pronounced under unconventional monetary policy decisions. Further robustness checks confirm our results. Our findings highlight the role in sentiments in driving the policy effectiveness and thus, have important implications for policy decisions.

Keywords: REITs and oil markets; price and volatility spillovers; structural changes (search for similar items in EconPapers)
JEL-codes: C32 Q02 R33 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2019-07
New Economics Papers: this item is included in nep-ure
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Journal Article: Price and volatility linkages between international REITs and oil markets (2020)
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