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

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Abstract

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

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常规和非常规货币政策冲击对美国房地产投资信托矩阵的影响:功能性冲击 VAR 的证据
摘要 我们使用一个带有功能冲击的向量自回归模型,捕捉货币政策公布日整个利率期限结构的变化,实证评估常规和非常规货币政策决策对美国房地产投资信托(REITs)市场的影响。利用 5 分钟间隔的盘中数据,我们不仅分析了对房地产投资信托收益率的影响,还分析了 2008 年 9 月至 2021 年 6 月期间房地产投资信托的已实现方差(RV)、已实现跳跃(RJ)、已实现偏度(RSK)和已实现峰度(RKU)。常规货币政策冲击对房地产投资信托回报矩的影响往往符合经济理论,但非常规货币政策冲击则不一定如此。此外,尽管货币政策冲击对 RJ 的影响最为持久和强烈,但通过 RSK 和 RKU 也可以观察到房地产投资信托市场的极端行为。此外,当我们对 10 个房地产投资信托行业进行研究时,在影响强度方面确实存在异质性,但与整体市场相比,在不同时刻的反应符号方面却不尽相同。鉴于房地产投资信托作为一种资产类别呈指数增长,我们的研究结果对房地产投资信托市场参与者具有重要意义。
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