The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks

• DOI: 10.1007/s11146-024-09978-z
• Publication Date: 2024-02-20T07:03:26Z
• Authors: Shixuan Wang; Rangan Gupta; Matteo Bonato; Oğuzhan Çepni
• Keywords: Intraday data; US REITs; Higher-moments; VAR with functional shocks; Conventional and unconventional monetary policies

Abstract We use a vector autoregressive model with functional shocks, capturing the shift of entire term structure interest rates on monetary policy announcement dates, to empirically evaluate effects conventional and unconventional decisions Real Estate Investment Trusts (REITs) markets United States (US). Using 5-min interval intraday data, we analyze not only impact REITs returns, but also its realized variance (RV), jumps (RJ), skewness (RSK), kurtosis (RKU) over daily period September 2008 June 2021. While shocks moments returns tend conform economic theories, same is necessarily case shocks. In addition, though have most persistent strongest RJ, extreme behaviour market observed through RSK RKU. Moreover, when look into 10 sectors, there indeed heterogeneity in terms strength effect, so much sign responses various compared overall market. Our results important implications for participants, given exponential growth as an asset class.