A Study On The Market Risk Of Real Estate Investment Trusts Based On The Analysis Of Macro Influencing Factors

In the 14th Five-Year Plan for National Economic and Social Development,it is proposed to promote the healthy development of real estate investment trusts(REITs)in the field of infrastructure.In June 2021,9 REITs in the field of infrastructure were listed,realizing the landing and development of REITs in China.At present,REITs in the real estate field in Chinese mainland are still in the pilot stage,with only analogous REITs,and their market risks and development rules need to be deeply understood.This paper chooses Yuexiu,Huixian and Chunquan,whose underlying assets from mainland real estate and listed in Hong Kong,as the research object.Then this paper discusses the influence of macro factors on their market risks,and predicts their market risks by using BP neural network method,providing reference for the development of REITs in the real estate field in Chinese mainland in the future.On the basis of literature review,this paper selected six macroeconomic factors affecting the market risk of REITs in the real estate field,including interest rate,CPI,industrial added value,employment level,stock price and real estate market.Value-at-risk(Va R)is used to measure the market risk of REITs in real estate field and GARCH-Va R model is used to calculate the value-at-risk.Vector autoregressive model(VEC model)is used to analyze the impact of macroeconomic factors on REITs’ market risk in real estate field.On the basis of the above analysis,the screened important influencing factors are taken as input variables,the value-at-risk of REITs is taken as output variables,and the BP neural network is used to predict the market risks of REITs in the real estate field.The main conclusions of this paper are as follows: First,the market risk of real estate REITs is affected by macroeconomic factors to a certain extent.Among the macro factors,interest rate fluctuation has a significant impact on the risk of REITs.The real estate market,CPI and economic fluctuations also have a certain impact on the risk of REITs,but the impact is smaller.Secondly,BP neural network can achieve a good prediction on REITs’ market risk in real estate field.Based on the research conclusions,this paper puts forward some suggestions for REITs’ market risk control,such as paying attention to the changes of key macro factors,carrying out REITs market risk monitoring and early warning,and improving the risk supervision mechanism.