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Author: 吳得剛
Rodrigo Uriarte Figuered
Thesis Title: The effect of unconventional monetary policy on Mortgage REITs performance.
The effect of unconventional monetary policy on Mortgage REITs performance.
Advisor: 張光第
Guang-di Zhang
Committee: 劉代洋
Day-Yang Liu
謝劍平
Jian-ping Xie
陳俊男
Chun-Nan Chen
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2022
Graduation Academic Year: 110
Language: 英文
Pages: 33
Keywords (in Chinese): mortgageREIT
Keywords (in other languages): mortgage, REIT
Reference times: Clicks: 713Downloads: 8
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  • This paper examines whether the unconventional monetary policy has a nonlinear effect on the mortgage real estate investment trust (REIT) in the US market. Empirically we utilize a standard VAR model in addition to a Granger Causality test and Impulse response function, to identify the time-varying effects between our variables. Our results from the dynamics of the Impulse response show that a shock in the unconventional monetary policy variables will have only a miniscule response on the performance variables. Providing evidence to the neutrality of Mortgage REITs to unconventional monetary policies.

    Table of Contents Abstract 2 1. Introduction 5 2. Literature Review 7 3. Methodology 11 4. Variables and Data 14 4.1. REITs performance 14 4.2. Unconventional monetary policy 14 4.3. Changes in y the real economy 16 5. Empirical Results y 17 5.1. Unit root test 17 5.2. Granger y Causality tests 17 5.2.1. Relationship between unconventional monetary policy variables and all Mortgage REITs performance variables. 17 5.1.2. Relationship between unconventional monetary policy variables and Home Financing sub sector of Mortgage REITs performance variables. 18 5.1.3. Relationship between y unconventional monetary policy variables and Commercial Financing sub sector of Mortgage REITs performance variables. 19 5.2. Impulse response y function analysis 20 5.2.1. Response of all Mortgage REITs to unconventional monetary policy. 21 5.2.2. Response of Home Financing sub-sector to unconventional monetary policy. 23 5.2.3. Response of Commercial Financing sub-sector to unconventional monetary policy. 25 6. Conclusion 27 Reference 29

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