Next Article in Journal
The Effects of Online Shopping Context Cues on Consumers’ Purchase Intention for Cross-Border E-Commerce Sustainability
Next Article in Special Issue
The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect
Previous Article in Journal
A Study of the Pedestrianized Zone for Tourists: Urban Design Effects on Humans’ Thermal Comfort in Fo Shan City, Southern China
Previous Article in Special Issue
Inclusive Financial Development and Multidimensional Poverty Reduction: An Empirical Assessment from Rural China

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

by 1, 2,* and 3,4,5
Department of Economics, University of Pretoria, Pretoria 0002, South Africa
KLASMOE & School of Mathematics and Statistics, Northeast Normal University, Changchun 130024, China
Department of Finance, Fintech Center, and Big Data Research Center, Asia University, Taichung 41354, Taiwan
Department of Medical Research, China Medical University Hospital, Taichung 40402, Taiwan
Department of Economics and Finance, The Hang Seng University of Hong Kong, Shatin 999077, Hong Kong, China
Author to whom correspondence should be addressed.
Sustainability 2019, 11(10), 2776;
Received: 29 March 2019 / Revised: 2 May 2019 / Accepted: 9 May 2019 / Published: 15 May 2019
Unlike the existing literature, which primarily studies the impact of only monetary policy shocks on real estate investment trusts (REITs), this paper develops a change-point vector autoregressive (VAR) model and then analyzes, for the first time, regime-specific impact of demand, supply, monetary policy, and spread yield shocks, identified using sign-restrictions, on US 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 and spread shocks at the end. Our results imply that ignoring other possible shocks in the model is likely to lead to incorrect inferences, and over-reliance on (conventional) monetary policy in correcting for possible bubbles in the REITs sector, which it will fail to rectify, given the importance of other shocks driving the REITs sector. View Full-Text
Keywords: change-point VAR model; macroeconomic shocks; US REITs sector change-point VAR model; macroeconomic shocks; US REITs sector
Show Figures

Figure 1

MDPI and ACS Style

Gupta, R.; Lv, Z.; Wong, W.-K. Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector. Sustainability 2019, 11, 2776.

AMA Style

Gupta R, Lv Z, Wong W-K. Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector. Sustainability. 2019; 11(10):2776.

Chicago/Turabian Style

Gupta, Rangan, Zhihui Lv, and Wing-Keung Wong. 2019. "Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector" Sustainability 11, no. 10: 2776.

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

Back to TopTop