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研究生:王玟惠
研究生(外文):Wen-huei Wang
論文名稱:物價上漲與失業率對不動產投資信託報酬之影響
論文名稱(外文):The Effect of Inflation and Unemployment on Real Estate Investment Trusts
指導教授:洪裕勝洪裕勝引用關係
指導教授(外文):Yuh-sheng Horng
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007/07/
畢業學年度:95
語文別:中文
論文頁數:68
中文關鍵詞:不動產投資信託物價上漲失業
外文關鍵詞:REITsinflationunemployment
相關次數:
  • 被引用被引用:7
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  • 下載下載:171
  • 收藏至我的研究室書目清單書目收藏:1
本研究以美國權益型不動產投資信託(REITs)為對象,探討將資金投資於各類型不動產的REITs,物價上漲與失業率對其報酬造成的影響。本文以1994年1月至2006年12月之月資料進行實證研究。文中主要利用向量自我迴歸以及向量誤差修正模型進行分析,並對研究變數進行衝擊反應分析與預測誤差變異數分解。實證發現,工業/辦公、特殊用途、零售以及自用倉儲型REITs報酬率與通貨膨脹率呈現負相關。僅住宅型REITs具有抵抗物價上漲的特性,代表投資人若選擇此類型REITs為投資工具,較能在物價上漲時抵銷購買力下降對投資人自身財富造成的損失。另外,本研究發現,失業只對工業/辦公型REITs造成負向影響。
This empirical study investigates the effect of inflation and unemployment on different types of equity REITs with using vector autoregression model and vector error correction model. Monthly data, from January 1994 to December 2006, has been used in this study. The results show that industrial/office, retail and self storage REITs returns have negative relationship with inflation. Only residential REITs returns can hedge against inflation. It implies that investors can maintain the same level of purchasing power during inflationary period by investing in residential REITs. In addition, change of unemployment has negative relationship with industrial/office REITs returns.
摘要 I
Abstract II
目錄 III
表目錄 V
圖目錄 VII

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第二章 文獻回顧 4
第一節 相關文獻 4
第二節 REITs投資類型 7
第三章 研究方法 10
第一節 定態與單根檢定 10
第二節 共整合檢定與誤差修正模型 15
第三節 向量自我迴歸模型 18
第四節 因果關係檢定 19
第五節 衝擊反應函數 22
第六節 預測誤差變異數分解 24
第四章 實證結果分析 25
第一節 資料來源與變數說明 25
第二節 統計量敘述 28
第三節 單根檢定 29
第四節 共整合檢定 31
第五節 向量自我迴歸分析 36
第六節 向量誤差修正模型分析 43
第七節 衝擊反應函數與預測誤差變異數分解 46
第五章 結論與建議 56
參考文獻 57
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