- 學位論文
房地產指數、REITs報酬及利率的長短期互動關係探討
A Reasearch of the Interactive Relationship Among the Real Estate Index, REITs Return and Interest Rate
摘要
此篇利用Enders and Granger(1998)的自我迴歸模型(TAR)及動差門檻自我迴歸模型(M-TAR)來進行門檻共整合的檢定，之後再利用Enders and Granger(1998)及Enders and Skilos(2001)的門檻誤差修正模型(TECM)，來觀察房地產指數跟REITs與台幣利率市場之非對稱因果關係。 從實證結果發現線性PP、KPSS與NP單根檢定法，檢測房地產指數跟REITs與台幣利率皆為I(1)數列。而在門檻共整合檢定部分，綜合發現房地產指數跟REITs與台幣利率皆存在長期均衡的非對稱共整合關係。 在門檻誤差修正模型為基礎下，討論短期因果發現，國泰R1、新光R1和國泰R2對利率有單向互動關係。在長期關係中，利率對國泰R1在門檻值之下有領先-落後的因果關係；利率對富邦R2與房地產不具有領先-落後的長期關係；利率對國泰R1、新光R1和國泰R2不論在門檻值之上或之下，都具有領先-落後的因果關係。富邦R1、國泰R1、新光R1、富邦R2、國泰R2與房地產對利率在門檻值之上，具有領先-落後的因果關係。
並列摘要
Our study employs threshold error-correction(TECM) studied by Enders and Siklos(2001). The empirical results suggest that for the appropriate model specifications, the applicable model for adjustment for the long-run equilibrium between the interest rate, estate index and REITs are M-TART for the Cathay No.1.2, Fubon No.1.2 and Shin Kong NO.1. In addition, an asymmetric threshold cointgration relationship exists between the REITs, estate index and interest rate.This paper also finds that no short-run causal relationship exists between Fubon No.1.2 and estate index to interest rate. However, in the long run there is a causal relationship between the REITs, estate rate and interest rate. This long-run causal relationship exists from REITs and estate index to interest rate.