Quantile Effects of Climate Policy Uncertainty, Economic Policy Uncertainty, and Interest Rates on REIT Returns: Evidence From the United States

Sarker, Provash Kumer; Chen, Xihui Haviour

Abstract

ABSTRACTWe investigate the quantile effects of climate policy uncertainty (CPU) on real estate investment trusts (REITs) returns in the United States. We use the quantile autoregressive distributed lags (QARDL) method on the monthly economic policy uncertainty (EPU), the market volatility index (VIX) and interest rates (INT) from March 2006 to April 2023. The results show that the impact coefficients of CPU, EPU and interest rates on REIT returns are significant in the short and long term. In addition, CPU demonstrates unidirectional causality with REIT returns across all quantiles, whereas REITs only show unidirectional causality with CPU in lower quantiles. Furthermore, EPU and interest rates show bidirectional causality with REIT returns across most quantiles. Policymakers and REIT investors can utilise the relationships and causality between REITs and CPU to update REIT investments, hedge against CPU and REIT stocks, construct a diversified portfolio and make informed decisions about the price movements of REITs in climate crises.

Citation

Sarker, P. K., & Chen, X. H. (2025). Quantile Effects of Climate Policy Uncertainty, Economic Policy Uncertainty, and Interest Rates on REIT Returns: Evidence From the United States. Economic Notes, 54(2 - July 2025), Article e70012. https://doi.org/10.1111/ecno.70012

• Journal Article Type: Article
• Acceptance Date: May 16, 2025
• Online Publication Date: May 28, 2025
• Publication Date: May 28, 2025
• Deposit Date: Jun 17, 2025
• Publicly Available Date: Jun 17, 2025
• Journal: Economic Notes
• Print ISSN: 0391-5026
• Electronic ISSN: 1468-0300
• Publisher: Wiley
• Peer Reviewed: Peer Reviewed
• Volume: 54
• Issue: 2 - July 2025
• Article Number: e70012
• DOI: https://doi.org/10.1111/ecno.70012
• Public URL: https://keele-repository.worktribe.com/output/1276920
• Publisher URL: https://onlinelibrary.wiley.com/doi/10.1111/ecno.70012