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    Title: 在預期及非預期貨幣政策下不動產投資信託基金的報酬及風險的影響
    Other Titles: The return and risk of the REITs under the influence of expected and unexpected monetary policy
    Authors: 楊宏銘;Yang, Hong-Ming
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-Liang
    Keywords: Monetary policy;Real Estate Investment Turst;Smooth Transition Autoregressive;不動產投資信託基金;平滑移轉自我回歸模型;貨幣政策
    Date: 2017
    Issue Date: 2018-08-03 14:40:13 (UTC+8)
    Abstract: 自日本2003年發行第一檔不動產投資信託商品後,廣受市場投資人青睞,不僅可作為配置資產的選擇標的,亦能作為對抗通貨膨脹的風險資產。雖然國內外文獻對於避險功能多有著墨,但鮮少學者有針對日本不動產投資信託商品進行研究,特別是近年日本施行寬鬆貨幣政策,導致匯市波動度加大,股市不確定性風險提高,故投資人面對貨幣政策對於日本不動產投資信託報酬所帶來的影響,實有必要作進一步的瞭解與認知,也為本研究主要研究的目的。
    此外,由於日本不動產投資信託具有固定收益證券與股票特性的商品,除了具有連動物價變化的特性外,亦對市場利率具有高度的利率敏感性,因此,本研究將採用Teräsvirta (1994)所提出的平滑移轉自我迴歸模型(smooth transition autoregressive,STAR)模型,去觀測貨幣政策改變時,對於日本不動產投資信託報酬與風險的影響,有助於投資人了解日本不動產投資信託在不同區間時,其本身和其他重要變數間是否呈現差異的現象。
    最後,考量市場投資人對於總體經濟環境具有預期心理,本研究將樣本期間切割為量化寬鬆貨幣政策實施前後,做進一步的探討,來捕捉市場在量化寬鬆前與量化寬鬆後的預期心理下,觀測日本不動產投資信託報酬與風險的變化。
    Since 2003, the first real estate investment trust has published. Owing to the characteristics of REITs, REITs soon become popular in the market. REITs own the characteristics of stocks and bonds, it also got the characteristics of anti-inflation and hedging. Specially, Japan government recently conduct the monetary policy of easing the monetary market.
    This paper use the Teräsvirta (1994) smooth transition autoregressive model to do this research, under the change of monetary policy, we try to find out the risk effect. Finally, we take the public investor of expectation into consideration,we cut the time into two sections and try to explain the public
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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