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Price and Volatility Linkages between International REITs and Oil Markets

Author

Listed:
  • Saban Nazlioglu

    (Department of International Trade and Finance, Faculty of Economics and Administrative Sciences, Pamukkale University, Denizli, Turkey)

  • Rangan Gupta

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

  • Alper Gormus

    (Texas A&M University–Commerce, Department of Economics and Finance, Commerce, TX, USA)

  • Ugur Soytas

    (Middle East Technical University, Department of Business Administration, and Earth System Science, 06531 Ankara, Turkey)

Abstract

In this paper, we use a Quantile Structural Vector Autoregressive (QSVAR) model, estimated over the quarterly period of 1975:Q3 to 2017:Q3, to analyze whether the impact of monetary policy shocks on real housing returns in the United States is contingent on the initial state of housing market sentiment. We find that contractionary monetary policy reduces real housing returns more strongly when the market is characterized by optimism rather than pessimism, with this effect being more pronounced under unconventional monetary policy decisions. Further robustness checks confirm our results. Our findings highlight the role in sentiments in driving the policy effectiveness and thus, have important implications for policy decisions.

Suggested Citation

  • Saban Nazlioglu & Rangan Gupta & Alper Gormus & Ugur Soytas, 2019. "Price and Volatility Linkages between International REITs and Oil Markets," Working Papers 201954, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201954
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    Cited by:

    1. Nicholas Apergis & Umit Bulut & Gulbahar Ucler & Serife Ozsahin, 2021. "The causal linkage between inflation and inflation uncertainty under structural breaks: Evidence from Turkey," Manchester School, University of Manchester, vol. 89(3), pages 259-275, June.
    2. Bonato, Matteo & Çepni, Oğuzhan & Gupta, Rangan & Pierdzioch, Christian, 2021. "Do oil-price shocks predict the realized variance of U.S. REITs?," Energy Economics, Elsevier, vol. 104(C).
    3. Walid Mensi & Zhuhua Jiang & Xuan Vinh Vo & Seong‐Min Yoon, 2023. "Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets," Australian Economic Papers, Wiley Blackwell, vol. 62(4), pages 597-615, December.
    4. Jiqian Wang & Rangan Gupta & Oğuzhan Çepni & Feng Ma, 2023. "Forecasting international REITs volatility: the role of oil-price uncertainty," The European Journal of Finance, Taylor & Francis Journals, vol. 29(14), pages 1579-1597, September.
    5. Sheng, Xin & Marfatia, Hardik A. & Gupta, Rangan & Ji, Qiang, 2021. "House price synchronization across the US states: The role of structural oil shocks," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    6. Mensi, Walid & Nekhili, Ramzi & Kang, Sang Hoon, 2022. "Quantile connectedness and spillovers analysis between oil and international REIT markets," Finance Research Letters, Elsevier, vol. 48(C).
    7. Gupta, Rangan & Sheng, Xin & van Eyden, Reneé & Wohar, Mark E., 2021. "The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence," Finance Research Letters, Elsevier, vol. 43(C).
    8. Yu-Min Lian & Chia-Hsuan Li & Yi-Hsuan Wei, 2021. "Machine Learning and Time Series Models for VNQ Market Predictions," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(5), pages 1-2.
    9. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
    10. Fasanya, Ismail O. & Oyewole, Oluwatomisin J., 2023. "On the connection between international REITs and oil markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 81(C).
    11. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 303-315, March.
    12. Aldenis Vásquez & Rafael Alvarado & Brayan Tillaguango & Cem Işık & Muntasir Murshed, 2023. "Impact of Social and Institutional Indicators on the Homicide Rate in Ecuador: An Analysis Using Advanced Time Series Techniques," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 169(1), pages 1-22, September.
    13. Hanif, Waqas & Andraz, Jorge Miguel & Gubareva, Mariya & Teplova, Tamara, 2024. "Are REITS hedge or safe haven against oil price fall?," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1-16.

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    More about this item

    Keywords

    REITs and oil markets; price and volatility spillovers; structural changes;
    All these keywords.

    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
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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