The Dynamic Analysis of the impact on Returns and Risks Factors on Real Estate Investment Trust in North American
江淑綺、賴文魁
E-mail: 9707352@mail.dyu.edu.tw
ABSTRACT
The aim of this study is going to investigate the interactive relationship of macroe-conomic variables on North American real estate investment trust return. The macrova-riables under research include the stock market return, the inflation rate, interest rate, the unemployment rate, industry growth rate, the currency supply of North Ameri-can(American and Canada). This study makes use of the measures of Unit Root Test, Granger Causality Test, VAR model to investigate the relation between North American real estate investment trust return and macroeconomic variables. The empirical evidences show that the stock market return has a strong influence on American long-term real estate investment trust, followed by inflation rate, currency supply, industry growth rate, interest rate, and the unemployment rate has a minor impact on American long-term real estate investment trust. On the other hand, the stock market return has a strong influence on Canada long-term real estate investment trust return, fol-lowed by interest rate, inflation rate, industry growth rate, unemployment rate, and the currency supply has a minor impact on Canada long-term real estate investment trust.
Keywords : real estate investment trust ; unit root test ; granger Causality Test ; vector autoregression model Table of Contents
內容目錄 中文摘要 ．．．．．．．．．．．．．．．．．．．．．． iii 英文摘要 ．．．．．．．．．．．．．．．
．．．．．．． iv 誌謝辭 ．．．．．．．．．．．．．．．．．．．．．． v 內容目錄 ．．．．．．．．．．．．
．．．．．．．．．． vi 表目錄 ．．．．．．．．．．．．．．．．．．．．．． viii 圖目錄 ．．．．．．．．
．．．．．．．．．．．．．． ix 第一章 緒論．．．．．．．．．．．．．．．．．．．．．． 1 第一節 研 究背景與動機．．．．．．．．．．．．．． 1 第二節 研究目的．．．．．．．．．．．．．．．． 2 第三節 研究對象 與範圍．．．．．．．．．．．．． 3 第四節 研究流程與架構．．．．．．．．．．．．． 4 第二章 文獻探討．．．
．．．．．．．．．．．．．．． 6 第一節 不動產證券化之沿革．．．．．．．．．．．． 6 第二節 不動產證券 化相關文獻．．．．．．．．．．． 17 第三節 風險因子相關文獻．．．．．．．．．．．．． 18 第三章 研究方法．．
．．．．．．．．．．．．．．．． 23 第一節 研究變數與操作性定義．．．．．．．．．．．． 23 第二節 單根檢定．
．．．．．．．．．．．．．．． 27 第三節 Granger因果關係檢定．．．．．．．．．．．．．． 30 第四節 VAR檢定．
．．．．．．．．．．．．．．． 33 第四章 實證結果分析．．．．．．．．．．．．．．．． 37 第一節 單根檢 定．．．．．．．．．．．．．．．．．． 37 第二節 Granger因果關係檢定．．．．．．．．．． 39 第三節 VAR檢定．
．．．．．．．．．．．．．．．．． 43 第五章 結論與建議．．．．．．．．．．．．．．．．． 56 第一節 結 論．．．．．．．．．．．．．．．．．．． 56 第二節 後續研究建議．．．．．．．．．．．．．． 58 參考文 獻 ．．．．．．．．．．．．．．．．．．．．．． 60 表目錄 表 2- 1 不動產投資信託內涵比較．．．．．．．．．．
．． 11 表 2- 2 美國與加拿大REITs制度之比較．．．．．．．．． 14 表 2- 3 風險因子相關文獻．．．．．．．．．．．
．．．． 21 表 3- 1 REIT指數代表．．．．．．．．．．．．．．．．． 23 表 3- 2 股價指數代表．．．．．．．．．．
．．．．．．． 24 表 3- 3 總體經濟風險因子．．．．．．．．．．．．．．． 24 表 4- 1 美國資料單根檢定結果．．．．
．．．．．．．．． 37 表 4- 2 加拿大資料單根檢定結果．．．．．．．．．．．．． 37 表 4- 3 美國因果關係檢定結果．
．．．．．．．．．．．． 38 表 4- 4 加拿大因果關係檢定結果．．．．．．．．．．．． 40 表 4- 5 美國變數VAR各落後 期數之AIC值．．．．．．．．． 42 表 4- 6 加拿大變數VAR各落後期數之AIC值．．．．．．．． 43 表 4- 7 美國向量自 我迴歸初始估計．．．．．．．．．．． 44 表 4- 8 加拿大向量自我迴歸初始估計．．．．．．．．．．． 45 表 4- 9 向量 自我迴歸彙整表．．．．．．．．．．．．．． 46 表 4- 10 美國總體經濟變數與REIT報酬衝擊結果．．．．．． 48 表 4- 11 加拿大總體經濟變數與C-REIT報酬衝擊結果．．．． 49 表 4- 12 美國REIT變異數分解．．．．．．．．．．．．．．
52 表 4- 13 加拿大C-REIT變異數分解．．．．．．．．．．．． 54 圖目錄 圖 1-1 研究流程圖．．．．．．．．．．．．
．．．．．． 5 圖 4-1 美國衝擊反應．．．．．．．．．．．．．．．．． 47 圖 4-2 加拿大衝擊反應．．．．．．．．．
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