Please use this identifier to cite or link to this item: https://hdl.handle.net/11499/9387
Title: Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis
Authors: Nazlıoğlu, Şaban
Gormus, N.A.
Soytas, U.
Keywords: Oil prices
Real estate investment trusts
Smooth shift Granger causality
Volatility spillover
Commerce
Costs
Fourier approximations
Granger Causality
Oil price shocks
Oil Prices
Structural break
Volatility spillovers
Volatility transmissions
Investments
economic analysis
energy market
Granger causality test
investment
oil trade
price dynamics
property market
spillover effect
Publisher: Elsevier B.V.
Abstract: According to literature, oil price shocks and volatility can have sector-specific impacts in the market. While these studies include most asset groups, the dynamic relationship between the oil market and Real Estate Investment Trusts (REITs) has not been tested. This study examines the role of oil price shocks and volatility on six REIT categories: Residential, Hotel, Healthcare, Retail, Mortgage and Warehouse/Industrial REITs for the January 2005–December 2013 period. In addition, a new causality approach is proposed by augmenting the Toda–Yamamoto method with a Fourier approximation. This approach is capable of capturing gradual or smooth shifts and does not require a prior knowledge regarding the number, dates, and form of structural breaks. The so-called Fourier Toda–Yamamoto causality (mean spillover) test finds uni-directional causality running from oil prices to all REITs, except for the mortgage REITs. In the latter case, the causality is reversed. In addition, the relatively new and simple causality-in-variance test shows that there is bi-directional volatility transmission between the oil market and all REITs. Our results have important implications for REIT managers and investors. © 2016
URI: https://hdl.handle.net/11499/9387
https://doi.org/10.1016/j.eneco.2016.09.009
ISSN: 0140-9883
Appears in Collections:İktisadi ve İdari Bilimler Fakültesi Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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