本文研究了日本銀行非常規貨幣政策對日本房地產投資信託（J-REIT）的影響。我們利用向量自回歸（VAR）模型，格蘭傑因果關係檢驗和衝激響應函數（IRF）來研究J-REIT、股票、利率、日本10年期國債殖利率、日本央行購買J-REITs數量與J-REITs指數表現之間的關係。日本央行（BoJ）在2010年至2019年購買的J-REITs，涵蓋量化寬鬆（QE），定性和量化寬鬆（QQE），負利率政策（NIRP）和殖利率曲線控制（YCC）。我們發現有證據表明日本央行購買日本房地產投資信託基金僅在NIRP和YCC期間影響日本房地產投資信託基金的表現。此外，每個變量都會對J-REIT市場產生短暫影響。我們的發現有助於有傾向在J-REIT市場進行投資的投資者更好地了解J-REIT在非常規貨幣政策下的表現。

This paper investigates the effects of the Bank of Japan’s unconventional monetary policies on Japan REITs (J-REITs). We utilize the vector autoregression (VAR) model, the Granger Causality test and the impulse response function (IRF) to examine the relationships between J-REITs, stocks, interest rate, Japan 10-year treasury yield, and the volume of J-REITs securities purchased by the Bank of Japan (BoJ) from 2010 to 2019, which covers quantitative easing (QE), qualitative and quantitative easing (QQE), the negative interest rate policy (NIRP) and yield curve control (YCC). We find the evidence that the BoJ purchasing the J-REITs affect the performance of J-REITs only during the period of NIRP and YCC. Moreover, each variable would have short-lived effects on the J-REIT markets. Our findings assist investors with tendency to invest in the J-REIT markets to have better understanding of how the J-REITs perform under the unconventional monetary policies.

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