Please use this identifier to cite or link to this item:
|Title:||The effects of economic policy uncertainty on the US REITs ETFs: A quantile analysis||Authors:||Charif, Husni
|Affiliations:||Department of Business Administration
Department of Business Administration
Economic policy uncertainty
|Issue Date:||2022||Publisher:||Taylor & Francis Online||Part of:||Investment Analysts Journal||Volume:||51||Issue:||1||Start page:||67||End page:||82||Abstract:||
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.
|URI:||https://scholarhub.balamand.edu.lb/handle/uob/5812||ISSN:||10293523||DOI:||10.1080/10293523.2022.2076372||Ezproxy URL:||Link to full text||Type:||Journal Article|
|Appears in Collections:||Department of Business Administration|
Show full item record
checked on Jul 3, 2022
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.