| Abstract: | 2008年的次級房屋信貸危機風暴產生後，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亞澳美股市及不動產投資信託（Real Estate Investment Trust ，REIT）造成顯著的影響是本研究主要探討的議題。
本研究以亞澳國家日本、香港、新加坡、澳洲及美國本身等五個國家為研究對象，主要透過ARJI模型配適亞澳美各國REIT與股市報酬，以捕捉其波動跳躍行為。結果顯示陸續的量化寬鬆貨幣政策對亞澳美股市及不動產投資信託（REIT）造成顯著的影響，且QE1相較於QE2與QE3較能引起各國REIT與股市報酬有較大跳躍行為，第一輪量化寬鬆貨幣政策的影響大於第二輪及第三輪量化寬鬆貨幣政策，本研究也發現量化寬鬆貨幣政策對不同區域及國家的影響程度也不一。
After the 2008 Subprime mortgage crisis, US started the Quantitative Easing 1 in 2008 November, so far three have been implemented QE policy and exceeded 400 trillion U.S. dollars, equivalent to more than 3.5 trillion dollars to buy financial assets, which is equivalent to the Federal Reserve System will release more than U.S. $ 3.5 trillion to the market, and the formation of large-scale international capital movement. From QE1 to QE3, unceasing advances the massive US dollar currency supplies the whole world, and a succession of Quantitative Easing Monetary Policy is causing a significant impact to Asian, Australian, and USA Stock market and the Real Estate Investment Trust (Real Estate Investment Trust, REIT) has the remarkable influence is this research main discussion subject.
This study takes Asian Australian country Japan, Hong Kong, Singapore, Australian and American itself and so on five countries as the object of study, mainly penetrates the ARJI model to match suitable Asian, Australian, and America various countries REIT and the stock market reward, catches its volatility jumps to caper behavior. The results show a succession of Quantitative Easing Monetary Policy have a significant impact to Asian Australia USA Stock market and real estate investment trust (REIT), and QE1 compares in QE2 and QE3 can cause various countries'' REIT and the stock market reward has a greater jump, the Quantitative Easing 1 influence is bigger than Quantitative Easing 2 and Quantitative Easing 3. This study also discovered the Quantitative Easing Monetary Policy is dissimilar to the different region and the national influence. |
