Responses of REITs index and commercial property prices to economic uncertainties: A VAR analysis

Hassan Gholipour Fereidouni, Reza Tajaddini, Mohammad Reza Farzanegan () and Sharon Yam

Research in International Business and Finance, 2021, vol. 58, issue C

Abstract: We use market participants’ perceived uncertainty to investigate the response of real estate investment trusts index (REITs Index) and commercial property prices to shocks in economic uncertainty. Using US quarterly data and applying a vector autoregression (VAR) model, our results show that an increase in market participants’ perceived uncertainty leads to a significant drop in the REITs Index and commercial property prices. In addition, we show that the REITs Index responds quicker to the uncertainty shocks than the commercial property prices. Our findings provide important implications for investors.

Keywords: Commercial property; REITs; COVID-19; Uncertainty; VAR (search for similar items in EconPapers)
JEL-codes: C32 G10 R33 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000787

DOI: 10.1016/j.ribaf.2021.101457

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