Effects of Monetary Policy in the United States on Timber REIT Returns｜國立臺灣科技大學博碩士論文系統

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研究生：	Daniel Andres Parra Barboza Daniel Andres Parra Barboza
論文名稱：	Effects of Monetary Policy in the United States on Timber REIT Returns Effects of Monetary Policy in the United States on Timber REIT Returns
指導教授：	張光第 Guang-Di Zhang
口試委員:	劉代洋 Dai-Yang Liu 謝劍平 Jian-Ping Xie 繆維中 Wei-Zhong Miao 張光第 Guang-Di Zhang
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2022
畢業學年度：	110
語文別：	英文
論文頁數：	26
中文關鍵詞：	VAR
外文關鍵詞：	Quantitative Easing, Timber REIT Returns, Monetary Policy, Granger Causality, VAR
相關次數：	點閱：223 下載：3
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In this paper we analyze whether a monetary policy based on FED Funds Rate and Quantitative Easing influences Timber REIT Returns. We use a conventional Vector Auto Regression model to determine the non-linear impact of monetary policy changes on Timber REIT returns from December 2010 to November 2021. Our results indicate that there is no causality effect of monetary policy changes on Timber REIT returns. We believe that our results of the neutrality of Timber REITs are insightful for financial professionals. Timber REITs seem to be a good option of high return investment to consider in a portfolio, for diversification purposes. Offering up to 10.3% average returns during our research period of 11 years.

ABSTRACT ...............................................................................................................................4
1. 2. 3.
INTRODUCTION:............................................................................................................7 LITERATURE REVIEW..................................................................................................9 DATA & METHODOLOGY...........................................................................................11
3.1- Data..............................................................................................................................11 3.2- Methodology................................................................................................................16 EMPIRICAL RESULTS.................................................................................................18 4.1- Unit root test................................................................................................................18 4.2- Granger Causality test ...............................................................................................18 4.3 Impulse responses ........................................................................................................19 4.4 Variance Decomposition..............................................................................................21 CONCLUDING REMARKS...........................................................................................23 REFERENCES .......................................................................................................................25
                                

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