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Title: The effects of economic policy uncertainty on the US REITs ETFs: A quantile analysis
Authors: Charif, Husni 
Assaf, Ata 
Demir, Ender
Mokni, Khaled
Affiliations: Department of Business Administration 
Department of Business Administration 
Keywords: Causality-in-quantile
Economic policy uncertainty
Quantile regression
Issue Date: 2022
Publisher: Taylor & Francis Online
Part of: Investment Analysts Journal
Volume: 51
Issue: 1
Start page: 67
End page: 82
This paper investigates the impact of economic policy uncertainty (EPU) on real estate investment trusts (REITs) ETFs in a quantile-based framework by employing the nonparametric causality test and the quantile autoregressive (QAR) model. Using data covering the returns of eight major United States (US) Real Estate Investment Trusts (REIT) exchange-traded funds (ETFs) over the period spanning 2 January 2012 to 28 February 2019, we find that there is a weak predictive power of EPU in REITs’ returns and volatility. Our findings indicate that EPU has a leading effect on the real estate market returns at the mean level. However, we find no causality running from EPU to real estate markets volatility at all quantiles, indicating a weak influence of uncertainty on the real estate markets. Besides, our results report a significant impact of the EPU on the returns at the lower and upper quantiles. Yet, the impact is not symmetrical since the EPU shows a positive (negative) impact on the returns during the bearish (bullish) market condition. Moreover, the lagged EPU impacts the REITs negatively only during the normal and bullish market conditions, given all the estimated coefficients being negative and significant. Our results entail policy implications for investors, regulators, and asset managers.
ISSN: 10293523
DOI: 10.1080/10293523.2022.2076372
Ezproxy URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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