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].