VAR 모형을 이용한 국내 REITs와 거시경제변수들간 동태적 상관관계분석

A Study on Dynamic Correlations between the Korean Real Estate Investment Trusts and Factors of Macroeconomic Variables Using VAR Model

The Purpose of this Study is to analyze the Correlations between REITs and macroeconomic variables in order to increase the accuracy and efficiency of REITs support policy. In this study, VAR model was used, and Unit root test, Johansen cointegration test, Granger causality test, Impulse Response, and Variance Decomposition analysis were used. The results of the Granger causality test show that the Construction Industry production index and the Non-residential building leasing index are the reasons for the unilateral Granger cause in the REITs Stock Index. The result of the Variance Decomposition analysis are as follows: KRW exchange rate, Goverment bonds(3 years), Construction index returns, Corporate bonds AA-(3 years) Consumer Price Index, Call Rate, and Composite Stock Price Index. As a result, REITs were influenced by Construction Industry production index and Non-residential building leasing index. The results of both analyzes provide a useful indexs for REITs companies, policy makers and investors.