Analysis of the Factors Affecting the Volatility of Real Estate Fund Returns Considering the Linkage Between Financial Markets and Macroeconomic Variables

This study built a model that could figure out an impact on the performance of real estate funds in terms of the linkages between macroeconomic variables and the real estate, stock, bond or credit markets and empirically analyzed the long-term direction in case of market shocks in the future. From February 2020 to February 2023, a total of 49 monthly time series data were built to secure the stability of the data and select the order of the variable arrangement through the unit root test and the Granger causality analysis then the vector auto regressive model (VAR), impulse response function and forecast error variance decomposition analysis were performed. Through the VAR model analysis, the significant variables affecting the return of real estate funds were found to be their own variables, credit spreads and interest rates. In addition, when response variables were the real estate fund return and the shock variables were their own variables, credit spreads and interest rates, a long-term shock response was observed. As a result of the prediction error variance decomposition, short-term variables were in the order of the own variables, credit leverages, KOSPI growth rates, credit spreads, interest rates and rental price index change rates and the short-term variables were in the order of the own variables, credit spreads, credit leverages, KOSPI growth rates, interest rates and rental price index change rates for contributing to the variance of the prediction error. If the performance of real estate funds is evaluated by the linkages between markets based on this study in the future, it is possible to realize a useful means of leading the activation of the indirect investment market including real estate funds.