Real estate sector response to economic policy uncertainty shocks
Volume: 3, Issue: 12
Published: Jan 1, 2012
Abstract
This paper examines the effect of economic policy uncertainty on the performance of the real estate sector proxied by Real Estate Investment Trust (REIT) returns in the United States. Using monthly REIT index data and the monthly changes in a newly constructed index of economic policy uncertainty (∆EPU) in the United States spanning 1985-2011, we investigate the impulse response functions of the REIT returns to the changes in economic policy...
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