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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/110701

    Title: 房地產指數、REITs報酬及利率的長短期互動關係探討
    Other Titles: A research of the interactive relationship among the real estate index, REITs return and interest rate
    Authors: 楊乃勳;Yang, Nai-Syun
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;謝志柔;Nieh, Chien-Chung;Sie, Jhih-Rou
    Keywords: 房地產指數;REITs;動差門檻自我迴歸模型;Estate index;Threshold error correction model
    Date: 2016
    Issue Date: 2017-08-24 23:33:49 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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