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研究生:侯蔚楚
論文名稱:T-REITs與總體經濟及商用不動產市場關聯性之探討
論文名稱(外文):The Relationship Among T-REITs, Macroeconomy and Commercial Real Estate Markets
指導教授:林左裕林左裕引用關係
指導教授(外文):Lin,tsoyu calvin
學位類別:碩士
校院名稱:國立政治大學
系所名稱:地政研究所
學門:社會及行為科學學門
學類:公共行政學類
論文種類:學術論文
畢業學年度:98
語文別:英文
論文頁數:67
中文關鍵詞:不動產投資信託共整合因果關係
外文關鍵詞:REITsCointegrationGranger Causality
相關次數:
  • 被引用被引用:11
  • 點閱點閱:563
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
台灣不動產投資信託(T-REIT)自2005年發行至今已逾四年,過去國內相關的文獻多集中於法律面、制度架構及問卷調查等相關研究,對於整體市場實際表現的討論則較缺乏。隨著交易歷史資料的延展,本研究針對國內REITs施行的現況與總體經濟波動及不動產市場之關係進行討論。在總體經濟部分以股價指數、利率與通貨膨脹進行分析,在不動產市場部分則採用辦公室平均租金水準與實際商辦交易價格為指標,期望探索T-REITs價格與總體經濟及不動產市場間之長期關係。
本文發現T-REITs與股價指數、商辦租金以及商辦交易價格間,均會存在長期均衡關係,即有共整合情形,而T-REITs與通貨膨脹率以及T-REITs與利率間不具有長期均衡關係,且股價指數、商辦租金以及通貨膨脹率與T-REITs為正向關係,利率及商辦租金與T-REITs則為反向關係。此外,根據因果關係檢定,股價指數與通貨膨脹率皆領先T-REITs,而商辦租金與T-REITs為雙向回饋。本文結果顯示,台灣REITs與總體經濟及商用不動產市場具有長期均衡關係,亦即總體經濟的變動以及不動產市場的波動可做為探討T-REITs長期變化的指標。

Taiwan launched the first Real Estate Investment Trusts (T-REITs) in 2005. However, over the past few years, studies regarding T-REITs mainly focused on legal system, institutional framework and questionnaire surveys, but lack of empirical analysis on the performance of T-REIT markets. This study therefore intends to explore the cointegration and causality relationship among the T-REITs, macroeconomy and commercial real estate markets. The macroeconomic factors in this study include the stock prices, interest rate and inflation rate; and the real estate variables include the commercial rents and commercial prices.
Empirical results first demonstrate that there exists the long-run relationship among T-REITs, stock prices, commercial rents and commercial prices, but not the interest rate or inflation rate. Moreover, T-REITs are significantly related to stock prices, interest rate and inflation rates as well as commercial rents and commercial prices. Third, the changes of stock prices and inflation rate lead the change of T-REITs. Finally, there is a significant feedback relationship between T-REITs and commercial rents.

Chapter 1 Introduction 1
1.1 General Background and Motivation 1
1.2 Research Method and Scope 3
1.3 Research Overview 5
Chapter 2 Literature Review 7
2.1 The Exploration of “ Wealth Effect Theory” 7
2.2 Review of REITs Volatility Factors 9
2.3 Long-run Relationship Between REITs and Factors 16
Chapter 3 Research Method and Data Information 22
3.1 Research Method 22
3.2 Variable selection and data source 28
3.3 T-REITs Index presentation and data analysis 30
Chapter 4 Empirical Results 38
4.1 Results of Structure Change and Unit-root Test 38
4.2 Results of Cointegration Test 40
4.3 Results of Vector Error Correction Model 44
4.4 Results of Vector Autoregression 48
4.5 Results of Granger Causality Test 51
Chapter 5 Conclusions and Discussion 54
5.1 Conclusions 54
5.2 Limitations 55
5.3 Recommendations for Further Research 55
References 56


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