- 學位論文
美國寬鬆貨幣政策與台灣REITs報酬關聯性分析
The Correlation Analysis of the US Quantitative Easing Monetary Policy and Rewards of REITs in Taiwan.
摘要
許多學者認為，美國QE退場後，伴隨美元利率調升，全球熱錢將回流美國，亞洲新興國家新加坡、香港、台灣等高房價的區域，樓市可能出現崩盤，衝垮整個金融體系，而本研究想透過實證研究了解美國QE退場次否衝擊房市，使房價面臨下修風險。所謂QE就是指量化寬鬆貨幣政策，最早的貨幣寬鬆政策起源自2008年的次級房屋信貸危機風暴產生，美國在2008年11月開始了第一輪的量化寬鬆（Quantitative Easing 1）貨幣政策，至目前為止已推行了三輪QE政策，並突破了4兆美元，等於是購買了超過3.5兆美元的金融資產，這也相當於聯邦準備理事會釋放出3.5兆以上的美元到市場上，而形成國際資金的大規模移動。從QE1到QE3，不斷的把大量美元貨幣供給推到全球，而陸續的量化寬鬆貨幣政策是否對不動產投資信託（Real Estate Investment Trust ，REIT）造成顯著的影響是本研究主要探討的議題。本研究以台灣為研究對象，主要透過ARJI（AutoRegressive Jump Intensity）模型配適台灣房市報酬，以捕捉不同寬鬆貨幣政策退場期間其波動跳躍行為，此實證結果能提供有興趣投資人進行全球資產配置相關投資建議。
並列摘要
Many scholars believe that the global hot money will flow back to the United States after the exit of QE monetary policy of the US, along with the increase of the US interest rates. Property market could be crashed by their high housing prices in emerging Asian countries, such as Singapore, Hong Kong, and Taiwan, and it might have a great impact on the entire financial system. This study aims to make a research through empirical study about whether the exit of the US QE policy would have any impact or risks on the property market, causing the housing price to go down. QE means quantitative easing monetary policy. After the 2008 Subprime mortgage crisis, the US started the Quantitative Easing 1 in November, 2008. Three rounds of QE policy have been implemented so far and have exceeded 400 trillion U.S. dollars, equivalent to more than 3.5 trillion dollars to buy financial assets. This equals that the Federal Reserve System releases more than U.S. $ 3.5 trillion to the market, leading to the formation of large-scale international capital movement. From QE1 to QE3, the massive US dollar currency supplies are unceasingly provided to the whole world, and therefore the main subject of this research is to discuss whether a succession of Quantitative Easing Monetary Policy will cause a significant impact on the Real Estate Investment Trust (Real Estate Investment Trust, REIT). This study takes Taiwan as the object of the study, trying to match suitable Taiwan REITs reward via the ARJI model, in an attempt to catch its price fluctuation during the exit of different Easing Monetary Policies. The result shows that a succession of Quantitative Easing Monetary Policy would have a significant impact on Taiwan real estate investment trust (REIT) and therefore can provide investment advice for interested investors for global asset allocation.
參考文獻
延伸閱讀
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