Economic policy uncertainty and the co-movement between REITs and exchange rate

Raheem, Ibrahim D., Fasanya, Ismail O. and Yusuf, Agboola H. (2022) Economic policy uncertainty and the co-movement between REITs and exchange rate. Review of Economic Analysis, 14 (1). pp. 121-141. ISSN 1973-3909

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Abstract

The REITs market has attracted a lot of interest among the academic, policymakers, and market participants. The linkages between REITs and macroeconomic and financial variables have been adequately explored in the literature, with more emphasis on linear models. This study expands the frontier of knowledge by examining the role of uncertainty in the comovement/spillover between REITs and the currency markets. Some interesting results were observed. First, using the Diebold and Yilmaz (2012) spillover test, we find that there is strong connectedness between the REITs and currency markets. Second, the BDS test shows that nonlinearity is a very crucial factor to be put into consideration when examining the role of EPU in affecting the interactions between REITs andexchange rate markets. Third, the non-parametric causality-in-quantile test confirms that the connectedness between the markets and EPU is stronger around the lower and middle quantiles. These results have important policy implications for policymakers and market participants. The study also offers suggestions for future research.

Item Type: Article
Additional Information: Funding Information: S.M.M.G. was funded by grants from Ministerio de Educación, Cultura y Deporte, Spain (FPU14/02219, EST16/ 00301 and EST17/00231). The work was funded by grant from Programa Operativo FEDER de Andalucía 2014-2020, Spain (B-CTS-185-UGR18). P.R.C., P.C., M.H. and V.R. were funded by grants from Barts and the London Charity (MIMG1M3R) and Cancer Research UK (C16420/A18066). The funding organizations did not participate in the design, execution of the experimental work or writing of this report.
Uncontrolled Keywords: epu,nonlinearity,reits,and causality-in-quantiles,economics and econometrics ,/dk/atira/pure/subjectarea/asjc/2000/2002
Faculty \ School: Faculty of Social Sciences > School of Economics
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Depositing User: LivePure Connector
Date Deposited: 08 Feb 2022 16:30
Last Modified: 14 Jun 2022 10:36
URI: https://ueaeprints.uea.ac.uk/id/eprint/83348
DOI: 10.15353/rea.v13i3.3564

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