VAR 모형을 이용한 국내 REITs와 거시경제변수들간 동태적 상관관계분석

• 영문명: A Study on Dynamic Correlations between the Korean Real Estate Investment Trusts and Factors of Macroeconomic Variables Using VAR Model
• 발행기관: 대한부동산학회
• 저자명: 이태용(Lee, Tae Yong) 김영곤(Kim, Young Ghon)
• 간행물 정보: 『대한부동산학회지』제50호, 41~58쪽, 전체 18쪽
• 주제분류: 사회과학 > 지역개발
• 파일형태: PDF
• 발행일자: 2018.12.30

영문 초록

The Purpose of this Study is to analyze the Correlations between REITs and macroeconomic variables in order to increase the accuracy and efficiency of REITs support policy. In this study, VAR model was used, and Unit root test, Johansen cointegration test, Granger causality test, Impulse Response, and Variance Decomposition analysis were used. The results of the Granger causality test show that the Construction Industry production index and the Non-residential building leasing index are the reasons for the unilateral Granger cause in the REITs Stock Index. The result of the Variance Decomposition analysis are as follows: KRW exchange rate, Goverment bonds(3 years), Construction index returns, Corporate bonds AA-(3 years) Consumer Price Index, Call Rate, and Composite Stock Price Index. As a result, REITs were influenced by Construction Industry production index and Non-residential building leasing index. The results of both analyzes provide a useful indexs for REITs companies, policy makers and investors.

목차

Ⅰ. 서론

1. 연구의 배경 및 목적

2. 연구의 범위 및 방법

Ⅱ. 선행연구 검토

1. 선행연구 검토

2. 본 연구의 차별성

Ⅲ. 분석모형 설정

1. 분석모형

2. 적정시차

Ⅳ. 실증분석

1. 자료의 구성

2. 단위근 검정

3. 공적분 검정

4. Granger 인과검정

5. 충격반응함수와 분산분해

Ⅴ. 결론

1. 연구결과요약

2. 연구의 시사점과 한계

키워드

Real Estate Investment Trusts Vector Auto Regressive Model Granger Causality Test Impulse Response Variance Decomposition