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

Rangan Gupta (), Zhihui Lv () and Wing-Keung Wong ()
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Zhihui Lv: School of Mathematics and Statistics, Northeast Normal University, China

No 201849, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper develops a change-point vector autoregressive (VAR) model and then analyzes the regime-specific impact of demand, supply, monetary policy, and spread yield shocks, identified using sign-restrictions, on real estate investment trusts (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 spread shocks at the end.

Keywords: Change-point VAR Model; Macroeconomic Shocks; US REITs Sector (search for similar items in EconPapers)
JEL-codes: C32 E32 E42 R30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-mac and nep-ure
Date: 2018-08
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