The role of the U.S. REIT market indicators in recession forecasting
Wirkkunen, Stepan (2026)
Pro gradu -tutkielma
2026
School of Business and Management, Kauppatieteet
Kaikki oikeudet pidätetään.
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2026060463764
https://urn.fi/URN:NBN:fi-fe2026060463764
Tiivistelmä
This thesis examines the role of the U.S. Real Estate Investment Trust (REIT) market indicators in recession forecasting. The study focuses on whether REIT-based indicators provide additional information about recession risk when combined with traditional financial market predictors.
The analysis uses monthly U.S. data from 1993 to 2025, including REIT returns, REIT volatility, stock market returns, the yield spread, and the NBER recession indicator. Logistic regression models are used to estimate recession probabilities. A baseline model includes the yield spread and stock market returns, while an extended model adds REIT returns and REIT volatility.
The results show that REIT volatility has a statistically significant positive relationship with recession probability, while REIT returns do not provide strong independent explanatory power. The extended model improves model fit compared with the baseline specification, suggesting that REIT market volatility contains useful information for recession forecasting. The findings indicate that the U.S. REIT market, especially through volatility-based indicators, can complement traditional financial predictors in assessing recession risk.
The analysis uses monthly U.S. data from 1993 to 2025, including REIT returns, REIT volatility, stock market returns, the yield spread, and the NBER recession indicator. Logistic regression models are used to estimate recession probabilities. A baseline model includes the yield spread and stock market returns, while an extended model adds REIT returns and REIT volatility.
The results show that REIT volatility has a statistically significant positive relationship with recession probability, while REIT returns do not provide strong independent explanatory power. The extended model improves model fit compared with the baseline specification, suggesting that REIT market volatility contains useful information for recession forecasting. The findings indicate that the U.S. REIT market, especially through volatility-based indicators, can complement traditional financial predictors in assessing recession risk.