The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks
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More about this item
Keywords
US REITs; Intraday Data; Higher-Moments; Conventional and Unconventional Monetary Policies; VAR with Functional Shocks;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
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2022-05-09 (Banking)
- NEP-CBA-2022-05-09 (Central Banking)
- NEP-MAC-2022-05-09 (Macroeconomics)
- NEP-MON-2022-05-09 (Monetary Economics)
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