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系統識別號 U0002-2006201213441200
中文論文名稱 物價變動條件下貨幣政策對不動產投資信託市場之不對稱性影響
英文論文名稱 The Asymmetric Effects of Monetary Policy on Real Estate Investment Trusts Returns under Change in Price Level
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 100
學期 2
出版年 101
研究生中文姓名 葉純秀
研究生英文姓名 Chun-Hsiu Yeh
學號 699530043
學位類別 碩士
語文別 中文
口試日期 2012-05-06
論文頁數 71頁
口試委員 指導教授-邱建良
共同指導教授-黃健銘
委員-俞海琴
委員-李命志
委員-郭宗賢
中文關鍵字 貨幣政策  不動產投資信託  馬可夫轉換模型  不對稱性效果  通貨膨脹 
英文關鍵字 Monetary Policy  Real Estate Investment Trusts  Markov Regime-Switching Model  Asymmetric Effects  Inflation 
學科別分類 學科別社會科學商學
中文摘要 本文藉由馬可夫轉換模型(Markov Regime-Switching Model),探討物價變動條件下,貨幣政策施行是否對美國不動產投資信託市場(Real Estate Investment Trusts, REITs)存在不對稱性效果,樣本期間選定1972年至2010年之月資料。先在現金流量折現模型的基礎下,建立總體經濟變數與REITs報酬率之相關理論架構,再利用自我迴歸整合移動平均模型(Autoregressive Integrated Moving Average Model, ARIMA)試圖區分預期與非預期的貨幣政策,並進一步應用門檻自我迴歸模型(Threshold Autoregressive Model, TAR)與移動平均模型(Moving average, MA)捕捉高低物價成長效果。本文採用貨幣供給(M2)成長率與聯邦資金利率變動量兩種不同貨幣政策代理變數進行頑強性檢測,實證結果顯示:在考慮高低物價成長期間下,非預期的貨幣政策衝擊對EREITs報酬率與非預期的聯邦資金利率變動對MREITs報酬率呈現不對稱性效果,其中非預期的寬鬆貨幣政策衝擊對EREITs報酬率與非預期的聯邦資金利率調降對MREITs報酬率的影響亦呈現不對稱性。此外,觀察非預期的貨幣政策衝擊與進一步觀察非預期的寬鬆貨幣政策衝擊對REITs報酬率在高低物價成長期間的效果變化,物價成長差異與貨幣政策之抵換關係(trade off)存在於REITs市場,此現象解釋為何REITs報酬具有抵抗物價上漲效果,尤其在高物價成長期間此抵換關係會較低物價成長期間更劇。
英文摘要 This study investigates whether the effects of monetary policy exist in the U.S. real estate investment trusts (REITs) market utilizing Markov regime-switching model over the period January 1972 to December 2010. We establish the theoretical framework by the discounted cash flow model to examine the effects of macroeconomic variables on REITs returns, and further to separate into the expected and unexpected monetary policy based on ARIMA model. Then we apply TAR model and MA model to capture the realized effects of change in price level. For the robustness we use money aggregates (M2) and Federal Funds Rate (FFR) as proxies for the stance of monetary policy. The finding indicates that unexpected monetary policy has the asymmetric effects on EREITs returns in high/low price growth period, while the asymmetric effects on MREITs returns are only found in the unexpected change of FFR. Furthermore, the effects of unexpected changes in expansionary monetary policy on EREITs returns and the effects of unexpected reductions in FFR on MREITs returns exhibit asymmetries in high/low price growth period. The findings have an implication for the effects of trade-off relationships between price growth and monetary policy exist in REITs sector. It will explain why REITs returns have inflation-hedging function. In particular, the effects in the high price growth period will be larger than in the low price growth period.
論文目次 目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 7
第二章 文獻回顧 9
第一節 貨幣政策對其它總體經濟變數影響之相關文獻 9
第二節 貨幣政策對資本市場影響之相關文獻 11
第三節 資本市場對REITs市場影響之相關文獻 15
第四節 總體經濟變數對REITs市場影響之相關文獻 18
第五節 REITs市場其他相關文獻 23
第三章 研究方法 26
第一節 單根檢定 26
第二節 理論模型 30
第三節 研究模型 32
第四節 實證內容 38
第四章 實證分析 40
第一節 研究對象與資料處理 40
第二節 基本統計量分析 41
第三節 單根檢定結果 45
第四節 實證結果 48
第五章 結論 63
參考文獻 66

表目錄
【表4-2-1】各項變數之基本統計量 44
【表4-3-1】各項變數原始序列之單根檢定結果 46
【表4-3-2】各項變數一階差分序列之單根檢定結果 47
【表4-4-1】ARIMA模型配適結果 48
【表4-4-2】預期與非預期貨幣政策之馬可夫轉換模型不對稱性估計結果 50
【表4-4-3】非預期貨幣政策之馬可夫轉換模型不對稱性估計結果 53
【表4-4-4】TAR模型捕捉物價變動條件下預期與非預期貨幣政策之馬可夫轉換模型不對稱性估計結果 55
【表4-4-5】TAR模型捕捉物價變動條件下非預期貨幣政策之馬可夫轉換模型不對稱性估計結果 57
【表4-4-6】MA模型捕捉物價變動條件下預期與非預期貨幣政策之馬可夫轉換模型不對稱性估計結果 59
【表4-4-7】MA模型捕捉物價變動條件下非預期貨幣政策之馬可夫轉換模型不對稱性估計結果 60

圖目錄
【圖1-3-1】研究程圖 8
【圖4-2-1】各項變數之時間序列圖 43
參考文獻 國內文獻
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2.邱建良、李命志、李玉玲,(2002),「貨幣政策與股價報酬之不對稱性效果」,華岡經濟論叢,第三卷,第二期,頁29-50。
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