부동산 간접투자 수익률에 영향을 미치는 요인 연구 -부동산펀드를 중심으로-

부동산펀드 수익률의 변동 요인과 시장 기초가치의 영향을 분석했다.

It has been more than 8 years since the REF(Real-estate fund) was first introduced in 2004. The REF grows year by year. However, there has been no proper information on the basis of which one could tell what elements contribute to the forming of REF yield and whether REF yield is predictable. This study has analyzed the sources of REF yield fluctuations by using the VAR model, and has verified how much important the market basis value has been by analyzing the impulse responses and variance decompositions.

The suggestions that are made from this sdudy are as follows: It could be confirmed that REF yields are positively influenced by HPCI(Housing purchase price composite indices), CD91(Certificate of deposit yield), KOSPI(Korea composite stock price index), and EFNAV(Real estate fund net assets value), whereas REF yields are negatively influenced by CPI(Consumer price index) and EX(Exchange rate).