Time-frequency and quantile analysis of uncertainty indicators’ effects on the US REIT market: Evidence from wavelet-based approaches

Abstract

This paper employed wavelet coherence analysis, wavelet quantile correlation and wavelet local multiple correlation to systematically investigate the influence of multiple types uncertainty indicators on the US REITs market. The findings revealed significant time-frequency characteristics and quantile dependencies between different types of uncertainty indicators and the REITs market: geopolitical risk exhibited a safe-haven function at medium-high quantiles in high-frequency bands; market volatility showed a significant negative correlation with REITs across all quantiles in the lowest frequency band; economic policy uncertainty was positively correlated with REITs at medium-high quantiles in medium-frequency bands; financial stress was negatively correlated with REITs at most quantiles in medium-frequency bands; and commodity market uncertainty demonstrated a pronounced frequency-quantile dependency. The multivariate WLMC analysis reveals that uncertainty indicators exhibit frequency-dependent dominance patterns, with FSI dominating long-term impacts, VIX and FSI alternating in medium-term frequencies. Particularly during the COVID-19 crisis, the associations between these uncertainty indicators and the REITs market were generally enhanced and exhibited persistence in the medium-to-long-term frequency domain. The findings of this study not only enriched the theoretical understanding of the relationship between REITs markets and macroeconomic uncertainty but also provided important empirical evidence for investors’ risk management and policymakers’ market regulation.