국내 부동산 펀드 유형별 거시경제변수의 영향요인분석

다국어 초록 (Multilingual Abstract)

This paper analysed the different types of Real Estate Funds in Korea. I examine the relation between Real Estate Fund returns and returns on KOSPI, APT transaction price index, land index, office rent index, auction sales price index, cd rates, consumer inflation rates, national bonds rates, company bond rates with correlation analysis, Granger causality Test, VECM and variance decompositions and find that private funds and public funds have a different set of variables. That is, private funds respond to most of macroeconomic variables because these are invested by mainly institutional investors.
The results reveal that the relationship between Real Estate Fund returns and returns to unsecuritized real estate has a tighter connection than stcoks and bonds. Therefore the Real Estate Fund acts as an asset class and shows the portfolio diversification effect.