We study price-switching spillovers between real estate investment trusts (REITs), oil, and gold markets by considering high- and low-volatility regimes as described by Markov-switching vector autoregression. Empirical results for different REIT markets indicate that gold (oil) has a lower (higher) impact on REITs in a high-volatility regime than in a low-volatility regime. Furthermore, in a low-volatility regime, gold and oil are net spillover contributors to REITs, while in a high-volatility regime, REITs are net spillover contributors. Price spillovers are time-varying, and climb during the early COVID-19 pandemic period and in early 2022.

Mensi, W., Reboredo, J., Ugolini, A., Vo, X. (2022). Switching connectedness between real estate investment trusts, oil, and gold markets. FINANCE RESEARCH LETTERS, 49(October 2022) [10.1016/j.frl.2022.103112].

Switching connectedness between real estate investment trusts, oil, and gold markets

Ugolini, Andrea;
2022

Abstract

We study price-switching spillovers between real estate investment trusts (REITs), oil, and gold markets by considering high- and low-volatility regimes as described by Markov-switching vector autoregression. Empirical results for different REIT markets indicate that gold (oil) has a lower (higher) impact on REITs in a high-volatility regime than in a low-volatility regime. Furthermore, in a low-volatility regime, gold and oil are net spillover contributors to REITs, while in a high-volatility regime, REITs are net spillover contributors. Price spillovers are time-varying, and climb during the early COVID-19 pandemic period and in early 2022.
Articolo in rivista - Articolo scientifico
Connectedness; Gold; MS-VAR model; Oil; Price spillovers; REITs;
English
Mensi, W., Reboredo, J., Ugolini, A., Vo, X. (2022). Switching connectedness between real estate investment trusts, oil, and gold markets. FINANCE RESEARCH LETTERS, 49(October 2022) [10.1016/j.frl.2022.103112].
Mensi, W; Reboredo, J; Ugolini, A; Vo, X
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/386842
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