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

Author

Listed:
  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Zhihui Lv

    () (School of Mathematics and Statistics, Northeast Normal University, China)

  • Wing-Keung Wong

    () (Department of Finance, Fintech Center, and Big Data Research Center, Asia University; Department of Medical Research, China Medical University Hospital, Taiwan; Department of Economics and Finance, Hang Seng Management College, Hong Kong, China; Department of Economics, Lingnan University, Hong Kong, China.)

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.

Suggested Citation

  • Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector," Working Papers 201849, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201849
    as

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    References listed on IDEAS

    as
    1. Nyakabawo, Wendy & Miller, Stephen M. & Balcilar, Mehmet & Das, Sonali & Gupta, Rangan, 2015. "Temporal causality between house prices and output in the US: A bootstrap rolling-window approach," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 55-73.
    2. Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2016. "Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 226-243, April.
    3. Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2017. "The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 640-653.
    4. George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages 316-347, November.
    5. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015. "Prior Selection for Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
    6. Sims, Christopher A & Zha, Tao, 1998. "Bayesian Methods for Dynamic Multivariate Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-968, November.
    7. Charles Rahal,, 2016. "Housing markets and unconventional monetary policy," Journal of Housing Economics, Elsevier, vol. 32(C), pages 67-80.
    8. Francesco Zanetti & Philip Liu & Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Changing Macroeconomic Dynamics at the Zero Lower Bound," Economics Series Working Papers 824, University of Oxford, Department of Economics.
    9. Beatrice Simo-Kengne & Stephen Miller & Rangan Gupta & Goodness Aye, 2015. "Time-Varying Effects of Housing and Stock Returns on U.S. Consumption," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 339-354, April.
    10. Rangan Gupta & Alain Kabundi, 2010. "The effect of monetary policy on house price inflation: A factor augmented vector autoregression (FAVAR) approach," Journal of Economic Studies, Emerald Group Publishing, vol. 37(6), pages 616-626, November.
    11. Kadiyala, K Rao & Karlsson, Sune, 1997. "Numerical Methods for Estimation and Inference in Bayesian VAR-Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(2), pages 99-132, March-Apr.
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    13. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
    14. Gupta, Rangan & Jurgilas, Marius & Kabundi, Alain, 2010. "The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach," Economic Modelling, Elsevier, vol. 27(1), pages 315-323, January.
    15. repec:aea:jecper:v:32:y:2018:i:3:p:59-86 is not listed on IDEAS
    16. Edda Claus & Iris Claus & Leo Krippner, 2016. "Monetary Policy Spillovers across the Pacific when Interest Rates Are at the Zero Lower Bound," Asian Economic Papers, MIT Press, vol. 15(3), pages 1-27, Fall.
    17. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, January.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Change-point VAR Model; Macroeconomic Shocks; US REITs Sector;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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