Dataset for Disagreements over US Real Estate Prices and the Realized Volatility of US Sectoral REITs
Description
Here's a pruned version: --- **Data Description** Realized volatility is measured using quarterly sector-specific REIT indices from FTSE Nareit's U.S. Real Estate Index Series, covering fifteen sectors classified into Equity REITs (all sectors except Commercial Financing and Home Financing) and Mortgage REITs (Commercial Financing and Home Financing). Disagreement over real estate prices is proxied by the real estate component of the Price Conflict Index (PCI), developed by Jamilov (2025) using generative AI (GPT-4o) applied to The New York Times digital archive. The interest rate component of the PCI is used as a comparison series to verify that predictive effects are specific to real estate disagreement. Control variables are Mortgage-Backed Securities (MBS) and Corporate Bond Spreads (CSB), which are sourced from FRED. The sample spans 1995Q1–2022Q4, except for Commercial Financing and Home Financing (2000–2022), reflecting data availability and overlap with the PCI series.