量化寬鬆貨幣政策對日本不動產投資信託市場之影響

The Impact of Quantitative Easing Monetary Policy on Real Estate Investment Trust Markets in Japan

蔡嘉俊(Chia-Chun Tsai)

指導教授 ： 邱建良

共同指導教授 ： 黃健銘(Chien-Ming Huang)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00694

摘要

前期學者對於探討經濟環境變化對於不動產投資信託市場的影響，普遍著重在貨幣政策的施行，然而對於亞洲主要經濟體系日本而言，卻鮮少有文獻有進行分析，因此本論文首將觀察日本經濟環境與日本不動投資信託市場之關聯性。前期文獻皆證實貨幣環境緊縮與寬鬆與否，將會影響不動產投資信託商品與物價成長率的關係，特別是面對長期處於低物價水準的日本而言，兩者間的關聯性是否仍受貨幣環境所影響，是市場投資人所須瞭解的課題，亦是現存文獻尚待補足之處，因此本論文旨在探討日本量化與質化寬鬆貨幣政策時期，對於日本不動產投資信託市場報酬的影響分析，，並檢測日本景氣環境變化與國際油價改變時與不動產投資信託市場報酬的關聯性，
　　樣本期間調查結果顯示具有顯著波動叢聚的現象，若忽略此一特性將可能造成結果錯誤解讀，且對於報酬跳躍大小與跳躍頻率的估計結果，不連續性的跳躍行為將存在於市場，顯示當市場出現異常資訊衝擊時，將會產生瞬時不連續的跳躍行為。在三組模型GARCH、GARCH-Dummy、ARJI-Dummy的設定下，發現長短期公債利率的敏感性亦沒有出現一致性的結果，兩者僅在ARJI-Dummy模型中同時顯著相關，可歸因於資金短期排擠效應與不動產長期投資特性所產生的結果。最後，當政府實施量化寬鬆時，將有利於不動產投資信託市場的表現，因此，本論文建議投資人應在進行投資決策時，貨幣政策態度將扮演著重要的影響因素。

關鍵字

不動產投資信託市場 ； 物價成長率 ； 量化寬鬆貨幣政策

並列摘要

The previous scholars’ discussions of the influence of overall economic environment changes on Real Estate Investment Trusts (REITs) market generally focus on the implementation of monetary policy. However, few literature analyses are made with regard to Japan REITs, which is the main economic system in Asia. Therefore, this thesis investigates the correlation between Japan’s overall economic environment and REITs market. In past, previous studies have show that policies of both tightening and easing monetary conditions would affect the relationship between REITs returns and interest rate, especially for Japan’s facing long-term low level of price. Whether the correlation between the two still affected by monetary conditions is an issue that market investors need to understand and remains to be made up in the existing literature. Therefore, this thesis aims to explore the analysis for the influence of quantitative and qualitative easing monetary policy on Japanese real estate investment trust market return.
　Empirical results show that there is a significant volatility clustering in REITs market and REIT returns present discrete jump. In addition, the sensitivities of interest rate of long term and short term government bond on REIT returns are inconsistent. In particular, the negative relations in short term interest rate can be attributed to the crowding-out effect of short term cash flow. However, the nature of real estate investment affects the relationships between REITs market and long term interest rate. Moreover, REIT nominal returns will reduce when the crude oil price increases and when the level of low interest rates and sufficient funds will lead real estate market growth when quantitative easing monetary policy is performed. Consequently, except improving government operation, the variations of monetary environment are major influent factor of real estate market development.

並列關鍵字

Real Estate Investment Trusts market ； price growth rate ； quantitative easing monetary policy

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