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  • 學位論文

以風險管理之觀點探討權益型REITs與抵押型REITs之可替代性

The Substitutability between Equity REITs and Mortgage REITs from Risk Management Perspective

指導教授 : 邱建良
共同指導教授 : 洪瑞成(Jui-Cheng Hung)

摘要


本文以權益型REITs、抵押型REITs和台股指數對美元匯率之日資料分別組成兩個不同類型的國際投資組合,運用GARCH-BEKK模型來估計這些投資組合的風險值。首先利用 Kupiec(1995)的LRuc檢定和 Christoffersen(1998)的LRcc檢定,估算匯率影響這些國際投資組合風險值的準確度;其次再利用Lopez(1999)的市場風險損失函數和Hansen(2005)的SPA檢定,探討持有權益型REITs和抵押型REITs所需提列的市場風險資本有無顯著差異,藉以推論權益型REITs和抵押型 REITs之間是否具有替代性。 實證結果顯示:1. 無論在單一資產類型或兩資產類型的投資組合中,匯率變化對美元計價的REITs之風險值有其影響力。而且對於兩資產類型的投資組合,一旦增加較多的REITs權重,匯率對此投資組合的風險值影響更高,也就是滙率水準對不同權重的REITs有同方向的影響程度。2. 以單一資產組成的投資組合中,權益型REITs應提列的風險資本低於抵押型REITs應提列的部份。在此類型的投資組合下,機構法人欲增加一單位抵押型REITs部位,相較下必須負擔較多的機會成本。3. 在兩資產類型的資產組合中機構法人投資REITs權重超過50%時,權益型REITs應提列的風險資本低於抵押型REITs應提列的部份,兩者之間並沒有等比例增減的替代關係。

並列摘要


This thesis regards two types of international investment portfolio individually constructed with equity Real Estate Investment Trusts (EREITs), mortgage Real Estate Investment Trusts (MREITs) and Taiwan stock index against US Dollar as the research objects. And the GARCH-BEKK models are used in this study while evaluating the VaR estimates of these international portfolios. First, this study follows the LRuc test of Kupiec (1995) and the LRcc test of Christoffersen (1998), which can be viewed as accuracy evaluation of VaR models. Second, we employ the market risk capital loss function formalized by Lopez (1999) and Superior Predictive Ability (SPA) test proposed by Hansen (2005), to investigate the difference in market risk capital requirement between EREITs and MREITs is significant or not, and regard that, we can make a conclusion whether substitutability has been exited between EREITs and MREITs. The empirical result shows that:1. Exchange rate has influence on the VaR estimates of an international portfolio constructed by one-asset model or two-asset model. When the weight of REITs grows higher, the influence of exchange rate relatively goes bigger. That is, the influence on three different weights of EREITs and MREITs are positively related to exchange rate. 2. For the case of one-asset model, the required market risk capital of the EREITs investment is significantly below the holding level of the MREITs investment. The amount increased for MREITs investment will be adjusted to reflect the amount of opportunity cost held by financial institution, which is not less than that of EREITs. 3. While the weight of EREITs and MREITs of two-asset model exceed over 50%, the two types of REITs are neither substitutable nor to reflect the amount of market risk requirement on a proportionate basis.

參考文獻


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