Revisiting the Role of Technology in the US Equity REITs-Climate Change Nexus: The GARCH-MIDAS Approach

Oluwaseun Ajayi and Kazeem O. Isah

AfRES from African Real Estate Society (AfRES)

Abstract: We investigated the role of technological innovation in the climate change-REITs nexus, considering the physical and transitional dimensions of risk posed by changing climate. Determining which dimension of climate risk is the most severe and affects the volatility of REITs is crucial. The study incorporated data from a daily market capitalisation-weighted index of U.S. equity REITs covering October 14, 2013, to December 29, 2023. The findings suggest that climate change's physical aspects heighten the volatility in the REITs market, with transitional climate risks bearing a more significant impact. Surprisingly, technology mitigates the effect of climate risk on REITs, but this reduction is more evident for transitional risks than physical ones. The paper has implications for investors, asset managers, and policymakers. Investors can utilise the research to adjust their portfolio strategies, considering climate risks and technological factors in REITs. Asset managers can refine their risk assessment frameworks for more resilient investment practices. Policymakers can use this research’s findings to develop regulations promoting climate resilience and real estate innovation.

Keywords: climate change; GARCH-MIDAS; REITs; technological shocks (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2024-01-01
New Economics Papers: this item is included in nep-env
References: Add references at CitEc
Citations:

Downloads: (external link)
https://afres.architexturez.net/doc/oai-afres-id-afres2024-026 (text/html)
https://architexturez.net/system/files/afres2024-26.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:afr:wpaper:2024-026

Access Statistics for this paper

More papers in AfRES from African Real Estate Society (AfRES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().