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研究生： 艾力恩
Bleiler, Adrian M.
論文名稱： The Impact of Monetary Policy Changes on Global Real Estate Investment Trusts: An Event Study Involving the Subprime Mortgage Crisis
The Impact of Monetary Policy Changes on Global Real Estate Investment Trusts: An Event Study Involving the Subprime Mortgage Crisis
指導教授： 楊曉瑩
Yang, Ann Shawing
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際經營管理研究所碩士班
Institute of International Management (IIMBA--Master)
論文出版年： 2009
畢業學年度： 97
語文別： 英文
論文頁數： 84
外文關鍵詞： Event Study, Market Model, Monetary Policy, Real Estate Investment Trust, Federal Fund Discount Rate
相關次數： 點閱：88  下載：1 
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    • Influence of monetary policy changes on financial markets has been shown in previous studies; however, evidence is lacking to show an international impact resulting from monetary policy decisions of a specific country on global markets. Given recent turmoil regarding the housing market in the United States and subsequent collapse of related economies throughout the world, this study investigates the influence of changes in US monetary policy on international markets through securitized real estate. Utilizing event study methodology, specifically the market model, the findings reveal that Real Estate Investment Trusts (REIT) traded in four international markets, US, Australia, UK and Canada, have significant reactions to 13 discount rate changes made by the Federal Reserve throughout the period of 2006 to 2008. The results indicate that US monetary policy, through a Federal Fund discount rate proxy, has a statistically significant influence on international markets, utilizing an REIT proxy, both domestically and internationally. The findings in this study accentuate the need to monitor not only domestic monetary policy, but also international policies in order to strategically diversify investments in multiple markets.

    TABLE OF CONTENTS ACKNOWLEDGEMENTS I ABSTRACT II TABLE OF CONTENTS III LIST OF TABLES VI LIST OF FIGURES VII CHAPTER ONE INTRODUCTION 1 1.1 Research Background and Motivation. 1 1.2 Research Objectives and Contributions. 5 1.3 Research Structure. 8 CHAPTER TWO LITERATURE REVIEW 9 2.1 Efficient Information Incorporation during Events. 9 2.1.1 Abnormal Returns under the Market Model. 10 2.1.2 Analyzing Complete Markets. 11 2.1.3 Banking Crises. 12 2.2 Real Estate and Market Efficiency. 12 2.2.1 Analyzing Real Estate and Property. 13 2.2.2 Inflation and REITs. 14 2.2.3 Monetary Policy. 14 2.2.4 Real Estate and Interest Rates. 16 2.2.5 Interest Rates, the Subprime Mortgage Crisis and Global Effects. 17 2.3 Hypothesis Development. 19 CHAPTER THREE THEORY 21 3.1 Efficient Market Hypothesis. 21 3.2 Contagion Theory. 22 CHAPTER FOUR RESEARCH DESIGN AND METHODOLOGY 24 4.1 Background of Event Study Methodology. 24 4.1.1 Models concerning Event Study Methodology. 25 4.1.2 Identifying Events. 27 4.1.3 Duration of Event Window and Estimation Period. 28 4.1.4 Data Time Intervals. 29 4.1.5 Abnormal Returns. 29 4.1.6 Market Model Discussion and Operation. 30 4.1.7 Cumulative Abnormal Returns. 32 4.1.8 Research Design. 33 4.2 Model Design. 34 4.2.1 Event Dates. 35 4.2.2 Event Window and Estimation Period Duration. 37 4.2.3 Countries, REITs, and Index. 39 4.2.4 Parametric Tests/ Robustness Tests. 42 CHAPTER FIVE EMPIRACAL RESULTS 44 5.1 Assessment and Empirical Process. 44 5.2 Abnormal Returns based on Individual Events per Country. 45 5.3 Abnormal Returns based on Countries. 50 CHAPTER SIX CONCLUSION AND SUGGESTIONS 54 6.1 Conclusions and Implementations. 54 6.2 Contributions. 56 6.3 Limitations. 57 6.4 Suggestions for Further Research. 58 REFERENCES 59 APPENDICES 63 Appendix-1: US Market Model Regression Coefficients 63 Appendix-2: Australia Market Model Regression Coefficients 66 Appendix-3: UK Market Model Regression Coefficients 69 Appendix-4: Canada Market Model Regression Coefficients 72 Appendix-5: United States AAR and ACAR per Event 75 Appendix-6: Australia AAR and ACAR per Event 77 Appendix-7: United Kingdom AAR and ACAR per Event 80 Appendix-8: Canada AAR and ACAR per Event 82

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