| 摘要: | 自從台灣通過不動產證券化條例之後，各種不動產證券化相關商品如雨後春筍般冒出，特別是不動產投資信託（Real Estate Investment Trust；REITs），更是一般民眾投資不動產合適管道之一。對投資人而言，REITs報酬是否與不動產相同具有對抗通貨膨脹之效果，進而引起本研究對REIT報酬率與通貨膨脹進行分析之動機。
然而台灣相較於美國REITs起步較晚，商品種類與數目亦遠不及美國，以台灣為研究對象有資料蒐集之困難，故本研究選取美國1983年7月 ~ 2006年6月之月REITs報酬率，並利用時間序列上之ARMA-GARCH模型來估計預期通膨及通膨不確定性；及以VAR模型及Granger因果檢定修正變數間假性迴歸問題，研究REITs報酬率與通膨及通膨不確定間之關係，及探討投資於REITs是否具有抗通膨之效果，希望作為未來台灣研究REITs報酬之參考，茲將研究結果彙整如下：
1. REITs報酬率受到自身及通膨不確定落後期影響，亦即REITs報酬率及通膨不確定落後期為REITs報酬率之因，且通膨不確定與REITs報酬率具負向關係。
2. 通膨不確定僅受到自身落後期的影響。
3. 通貨膨脹受到自身及REITs報酬率落後期影響，亦即通貨膨脹及REITs報酬率落後期為通貨膨脹之因，且REITs報酬率與通貨膨脹具正向關係。
Since the Real Estate Securitization Act was practiced, the relevant goods of various kinds of real estate securitizations raise rapidly, especially the Real Estate Investment Trust (REITs); it is also the suitable way for general people to invest the real estate even more. For investor, REITs remuneration is the same result of having face-off inflation as real estate, and then the motive causing this research to analyze to REIT rate of returns and inflation. However, comparing to the U.S. REITs, Taiwan is way behind very much; the type of merchandize and figure are also inferior to U.S.A. far , regarding Taiwan as the difficulty that the research object has materials to collect , so research this choose the monthly REITs rate of returns of U.S.A between July of 1983 and June of 2006 , and make use of ARMA-GARCH model on the time series to estimate the expand inflation and uncertainty of expecting to inflation. Moreover, by assaying and revising a false return question of parameter with VAR model and Granger cause and effect, studying the relation of REITs rate of returns, inflation and unexpecting inflation. Furthermore, discussing if the invest in REITs would be effected of resist the inflation; hoping this studying would be the reference of REITs remuneration for Taiwan in the future. The following informations contain the whole result of studying:
1. REITs rate of returns would be influenced by its own and uncertain lag behind of inflation, namely REITs rate of returns and coherent to uncertain inflation to lag behind issue reason. Moreover, the relation of uncertain inflation and REITs of rate of returns is negative.
2. Uncertain inflation is influenced only by the lagging behind of itself.
3. Inflation is influenced by itself and the lagged behind of REITs rate of returns, namely inflation and REITs rate of returns lag behind a reason that is the inflation, and there is the positive relation between REITs rate of returns and inflation. |
