The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis
Open accessAbstract
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.
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Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Statistical inference in vector autoregressions with possibly integrated processes
Toda, H. Y., & Yamamoto, T. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01616-8 · Cited by 6,108
Cited by
Yuping, L., Ramzan, M., Xincheng, L., Murshed, M., Awosusi, A. A., BAH, S. I., & Adebayo, T. S. (2021) · Energy Reports · doi:10.1016/j.egyr.2021.07.065 · Cited by 382
Pata, U. K., & Samour, A. (2022) · Progress in Nuclear Energy · doi:10.1016/j.pnucene.2022.104249 · Cited by 382
Kirikkaleli, D., Güngör, H., & Adebayo, T. S. (2022) · Business Strategy and the Environment · doi:10.1002/bse.2945 · Cited by 369
Ilkay, S. C., Yilanci, V., Ulucak, R., & Jones, K. (2021) · Journal of Environmental Management · doi:10.1016/j.jenvman.2021.113033 · Cited by 71
Metadata
- Authors
- Nazlioglu, S., Gormus, N. A., & Soytas, U.
- Venue
- Energy Economics
- Publisher
- Elsevier BV
- Published
- 2016-11
- Volume
- 60
- Pages
- 168-175
- ISSN
- 0140-9883 (ISSN-L)
- OpenAlex
- W2519435021
- Cited by
- 510
- References
- 3
- FWCI
- 10.96
- Type
- journal article
- Language
- en
- Open access
- green
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- Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics. https://doi.org/10.1016/j.eneco.2016.09.009
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