不动产投资与股汇市丶利率敏感性动态分析－以日本为例.pdf

Review of Financial Risk Management 113 96 1-22 The Dynamic Analysis of Real Estate Investment Stock and Exchange Rate Market and Interest Rate Sensitivity A case study of the Japanese Chiu, Chien-Liang Chien-Ming Huang Tamkang University, Graduate Institute of Soochow University, Department of Money, Banking and Finance International Business Wu, Pei-Shan Ching Yun University, Depart of Finance J-REIT J-REIT ARJI TAR J-REIT J- REIT J-REIT J-REIT ARJITAR JEL C32, C51, G15 * ** 229 TEL 0960517806 E-mail pasun.wu@ 114 96 3 Abstract The main study of this paper is Japan real estate investment market, which with the dynamic analysis of stock and exchange rate market and interest rate sensitivity. The study research in J-REIT index, which represent real estate investment market. The stock market index is TOKYO-TOPIX index, and the exchange rate is spot exchange rate of yen per us$. This paper choose the four important interest rate variables, to study the influence on expected interest rate change to J-REIT daily returns. To depart from previous research method, this paper used ARJI model and two regimes threshold auto regression (TAR) to study. It can discuss does J-REIT returns in stock and exchange rate markets have asymmetric effect, and the dynamic