벡터오차수정모형을 이용한 REITs와 금융자산과의 실증연구
The Empirical Study of Financial Assets and REITs using Vector Error Correction Model
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The purpose of this paper is to estimate the volatility, the interactions of cause and the effects in major economic level variables through Granger Casualty Test and to grasp the casual relation by using Vector Error Correction Model in the sample period from January of 2004 to December of 2007. And we examine the dynamic movement between the return of Korea Real Estate Trusts and the return of other assets. Variables in the model are statistically significant Real Estate Investment Trusts returns, corporate bonds, and exchange rates in endogenous variables as results of Unit Root Test, Granger Casualty Test,using 9 variables. As the results of the study, Vector Error Correction Model was estimated by using the cointegration indicating long-run equilibrium relationship. It was confirmed that the cointegrated relation existed between the Real Estate Investment Trusts market and the financial asset variables through the Vector Error Correction Model analysis.
Abstract
The purpose of this paper is to estimate the volatility, the interactions of cause and the effects in major economic level variables through Granger Casualty Test and to grasp the casual relation by using Vector Error Correction Model in the sample period from January of 2004 to December of 2007. And we examine the dynamic movement between the return of Korea Real Estate Trusts and the return of other assets. Variables in the model are statistically significant Real Estate Investment Trusts returns, corporate bonds, and exchange rates in endogenous variables as results of Unit Root Test, Granger Casualty Test,using 9 variables. As the results of the study, Vector Error Correction Model was estimated by using the cointegration indicating long-run equilibrium relationship. It was confirmed that the cointegrated relation existed between the Real Estate Investment Trusts market and the financial asset variables through the Vector Error Correction Model analysis.
참고문헌 (17)
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