Do long‐term swap rate and stock price give an impact on Japanese Real Estate Investment Trust market under quantitative and qualitative easing and negative interest rate policy?
Do long‐term swap rate and stock price give an impact on Japanese Real Estate Investment Trust market under quantitative and qualitative easing and negative interest rate policy?
复制标题
定量、定性宽松以及负利率政策下，长期掉期利率和股价对日本房地产投资信托市场有影响吗？
DOI：
10.1002/jcaf.22431
复制
发表时间：
2020
影响因子：
1.4
通讯作者：
Takayasu Ito
中科院分区：
文献类型：
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作者：
Takayasu Ito
股价上涨对房地产投资信托（REIT）市场产生积极影响，但在定量和定性宽松（QQE）制度下，利率上升对REIT市场产生负面影响。财富效应成立。从利率影响来看，QQE时期30年期互换利率要大于20年期互换利率。另一方面，在负利率政策（NIRP）时期，股价的所有负系数在1%的水平上均具有统计显着性。但即使在 10% 的水平上，利率的负系数也不显着。这个结果不仅在日本，而且在美国等其他国家的REIT市场分析中都是非常罕见的。投资者倾向于购买房地产投资信托基金来弥补股市低迷和固定收益市场收益减少的影响。当日本央行采用QQE时，REIT市场的正常功能得以维持。但引入NIRP后，REIT市场的正常功能就丧失了。这种现象是 NIRP 的负面影响。
An increase in stock price has a positive impact on the Real Estate Investment Trust (REIT) market, but an increase in interest rate has a negative impact on the REIT market in the regime of quantitative and qualitative easing (QQE). The wealth effect holds. As for the impact of interest rate, swap rate of 30 years is larger than that of 20 years in the period of QQE. On the other hand, all the negative coefficients of stock price are statistically significant at the 1% level in the period of negative interest rate policy (NIRP). But none of the negative coefficients of interest rate are significant even at the 10% level. This result is very rare in the analysis of REIT market not only in Japan, but also in other countries such as USA. Investors tend to buy REITs to compensate for the sluggish stock market and reduced gains in the fixed income market. When the Bank of Japan adopts QQE, normal function of REIT market is maintained. But after they introduce NIRP, normal function of REIT market is lost. This phenomenon is a negative effect of NIRP.