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研究生： 林明飛
Kurniawan, Ferry
論文名稱： Dynamic Co-movements between Economic Policy Uncertainty and Real Estate Investment Trust
Dynamic Co-movements between Economic Policy Uncertainty and Real Estate Investment Trust
指導教授： 謝惠璟
Hsieh, Hui-Ching Sana
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際經營管理研究所
Institute of International Management
論文出版年： 2016
畢業學年度： 104
語文別： 英文
論文頁數： 73
外文關鍵詞： EPU, REITs, Stock market index, Short term interest rate, International reserve, United States, Canada, Japan, France, Australia
相關次數： 點閱：93  下載：17 
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    • The concern about economic policy uncertainty (EPU) has been increasing in the last few years since the global economy has been quite unstable which also be able to give great impact to the housing market. Therefore, this research is intended to examine the correlation between EPU and REIT and the factors that can influence that correlation. This research will be tested in five countries, United States, Canada, Japan, France and Australia from 2003 to 2015. The EPU data is obtained from www.policyuncertainty.com and REIT price, stock market index, short term interest rate and international reserve data are obtained from DataStream. The method that be used is DCC EGARCH and OLS. From this research, we found that the correlation in United States, Canada, France and Japan are constantly negative, while Australia have opposite result. Furthermore, international reserve has important role in their correlation since it is significant in United States and France although the result is mixed. Stock market index and short term interest rate are only significant in United States.

    ABSTRACT I ACKNOWLEDGEMENTS II TABLE OF CONTENTS III LIST OF TABLES VI LIST OF FIGURES VII CHAPTER ONE INTRODUCTION 1 1.1 Research Background. 1 1.2 Economic Policy Uncertainty. 2 1.3 Real Estate Investment Trust (REIT). 5 1.4 Research Objective and Motivation. 12 1.5 Research Gap and Contributions. 12 1.6 Research Structure. 13 CHAPTER TWO LITERATURE REVIEW 14 2.1 Economic Policy Uncertainty and Real Estate Market. 14 2.2 Economic Policy Uncertainty and Public Real Estate Companies. 19 2.3 Economic Policy Uncertainty (EPU) and Stock Markets. 23 2.3.1 Non-EPU Index and Stock Markets. 23 2.3.2 EPU Index and Stock Markets. 25 2.4 Macroeconomic Factors on Relationship between EPU and REIT. 27 2.5 Hypothesis. 28 CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 30 3.1 Data Source and Description. 30 3.1.1 Economic Policy Uncertainty. 31 3.1.2 Real Estate Investment Trust (REIT). 37 3.1.3 Macroeconomic Factors. 38 3.2 Data Analysis Procedure. 38 3.2.1 The Relationship between EPU and REIT. 38 3.2.2 The Relationship between Macroeconomic Factors and the Correlation between EPU and REIT. 39 3.3 Methodology and Regression Model. 40 3.3.1 The Relationship between EPU and REIT. 40 3.3.2 The Relationship between Macroeconomic Factors and the Correlation between EPU and REIT. 43 3.4 Result Expectation. 43 CHAPTER FOUR RESEARCH RESULT 45 4.1 Descriptive Statistics. 45 4.1.1 The Relationship between EPU and REIT. 45 4.1.2 The Relationship between Macroeconomic Factors and the Correlation between EPU and REIT. 47 4.2 Correlation Analysis. 49 4.2.1 The Relationship between EPU and REIT. 49 4.2.2 The Relationship between Macroeconomic Factors and the Correlation between EPU and REIT. 50 4.3 Regression Results. 52 4.3.1 The Relationship between EPU and REIT. 52 4.3.2 The Relationship between Macroeconomic Factors and the Correlation between EPU and REIT. 60 CHAPTER FIVE CONCLUSION AND SUGGESTIONS 63 5.1 Research Conclusion. 63 5.2 Managerial Implication. 66 5.3 Research Contribution. 66 5.4 Research Limitation and Suggestion. 67 REFERENCES 68 APPENDICES 73 Appendices 1: The effect of REIT to EPU. 73

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