不动产投资信托基金风险宏观经济影响因素分析  

Analysis of Economic Factors Affecting the Risk of Real Estate Investment Trusts

作　　者：刘建利[1] 薛颖 周霞[1] LIU Jianli;XUE Ying;ZHOU Xia(School of Urban Economics and Management,Beijing University of Civil Engineering and Architecture,Beijing 100044)

机构地区：[1]北京建筑大学城市经济与管理学院,北京100044

出　　处：《北京建筑大学学报》2022年第4期103-110,共8页Journal of Beijing University of Civil Engineering and Architecture

基　　金：国家自然科学基金项目(H16140);北京建筑大学促进高校内涵发展定额项目(JDJQ20200305)。

摘　　要：我国国民经济和社会发展“十四五”规划中,提出将不动产投资信托基金作为盘活存量资产、加快生产要素流动性的新型融资方式大力推广,然而影响不动产投资信托基金推广的一个重要因素在于对其风险的预测和把控。以我国香港上市的大陆不动产投资信托基金为样本,以在险价值作为不动产投资信托基金风险衡量指标,通过向量误差修正模型分析我国宏观经济、证券市场和房地产市场波动等因素对不动产投资信托基金风险的影响。研究发现,不动产投资信托基金是一种较为稳健的投资工具,其风险在一定程度上受宏观经济因素的影响;在宏观经济因素中,不动产投资信托基金风险受利率波动影响最大,同时也受到恒生指数、居民消费价格指数、城镇就业人数增长率、经济波动影响。因此,可以根据这些因素的变动预判不动产投资信托基金风险,并进行风险把控或投资调整。In the “14th Five-Year Plan”for China’s national economic and social development,it is proposed that real estate investment trusts be vigorously promoted as a new financing method to revitalize existing assets and accelerate the liquidity of production factors,but an important factor affecting the promotion of real estate investment trusts lies in the prediction and control of their risks. Taking mainland real estate investment trusts listed in Hong Kong as a sample and the value at risk as the risk measurement index of real estate investment trusts,the impact of factors such as China’s macro-economy,securities market and real estate market fluctuations on the risk of real estate investment trusts is analysed through the Vector Error Correction model. The study shows that real estate investment trusts are a relatively stable investment tool,and their risks are affected to some extent by macroeconomic factors;among macroeconomic factors, real estate investment trusts risk is most affected by interest rate fluctuations,but also affected by the Hang Seng Index,consumer price index,urban employment growth rate,and economic fluctuations. Therefore,the risk of real estate investment trusts can be predicted according to the changes in these factors,and risk control or investment adjustment can be carried out.

关 键 词：不动产投资信托基金 风险 VEC模型 GARCH-VAR模型 

分 类 号：F830.593[经济管理—金融学] TU-9[建筑科学]