공모부동산펀드의 수익률 영향요인 변화 분석 - 금융위기 전후 기간을 중심으로 -

1. CONTENTS (1) RESEARCH OBJECTIVES The purpose of this study is to identify the variation in macro-economic factors influencing PREF yields before and after the financial crisis in 2008. (2) RESEARCH METHOD The study employed the Unit Root Test, Granger causality Test, and VEC model including analysis of impulse responses and variance decompositions. (3) RESEARCH FINDINGS According to analysis of VEC model, the ‘USA S&P500 yields’ increased the influence to the ‘rental type PREF yields’ after the financial crisis in 2008. 2. RESULTS The research results indicate that the influence of ‘USA S&P500 yields’ to ‘rental type public PREF yields’ was increased, and also the direction has changed from negative(-) to positive(+) after the financial crisis. ‘USA REITs yields’, ‘GIPI’ and ‘loan type REF yields’ have changed the direction of influences to ‘rental type PREF yields’ from positive(+) to negative(-). ‘Exchange rate’ affects negatively(-) to ‘rental type PREF yields’, but ‘commercial bond’ affects positively to ‘rental type PREF yields’.