本論文研究房地產投資信託基金（REITs）市場的貨幣政策，利用新發展的GARCH方法報酬序列建模分析在1972年至2014年期間的影響。對現有文獻的貢獻有三個方面。一，研究結果顯示，房地產投資信託基金市場的反應與聯邦基金利率非預期變化在貨幣環境的差異有顯著不同，這表明，在緊縮期間房地產投資信託基金的實際報酬率的負面利率敏感性大於在寬鬆期間。二是房地產投資信託基金報酬到產量增加之間的反應沒有關係。這意味著，房地產投資信託基金資產的價格已經有效地反映經濟基礎與預期心態的市場利率潛在價值。第三，證明了非常態分佈的GARCH 厚尾模型允許克服誤差項的分佈和變異數常見的問題，以及提供更有效評估經驗模型。最後，提出結論，在美國REITs市場存在貨幣政策衝擊的不對稱影響。

This dissertation investigates the effects of the stance of monetary policy on real estate investment trust (REIT) market utilizing the newly developed GARCH technique of modeling returns series analysis over the period 1972-2014. The contribution with respect to existing literature is threefold. First, the works show that the market’s response of REITs significantly differs from the unexpected changes of Federal Funds Rate in the difference of monetary environments, which indicate that the negative interest rate sensitivity of REIT real returns in restrictive periods is greater than that in expansive periods. Second, there is no relationship between the reaction of REIT returns and output grows. This implies that the prices of REITs asset have effectively reflected the potential value of economic fundament and the anticipated mentality of market rate. Third, this dissertation demonstrates that the GARCH-HeavyTailed (GARCH-HT) model with non-normal distribution allows to overcome the common problems of both the distribution and variance of error term, as well as provide more efficient evaluation of empirical model. Finally, This dissertation also concludes that the asymmetric effects in shocks of monetary policy exist in the U.S. REITs market.

ACKNOWLEDGEMENT	I
ABSTRACT IN CHINESE	II
ABSTRACT IN ENGLISH	III
CONTENTS  .. .. ..	V
LIST OF TABLES	VII
LIST OF FIGURES	VIII
CHAPTER 1  INTRODUCTION	1
CHAPTER 2  LITERATURE REVIEW	6
2.1 Monetary Policies and Stock Market	6	
2.2 REIT Returns and Inflation	9
2.3 Time-Varying Volatilities and the Characteristics of Non-Normality Distribution
		10
CHAPTER 3  METHODOLOGY	13
3.1 Variables Definitions	13
3.2 Expected and Unexpected Interest Rate	14
3.3 ARCH and GARCH Model	15
3.4 GARCH Model with Normal and Heavy-Tailed Distribution	17
CHAPTER 4  DATA SOURCE 	22
4.1 Data Collection	22
4.2 Summary Statistics	23
CHAPTER 5  EMPIRICAL RESULTS	26
5.1 Heavy Tail Characteristic of REIT Return	26
5.2 Restrictive and Expansion Monetary Policy	30
5.3 The Transition of Information Efficiency and Macroeconomic 
   Environment	34
CHAPTER 6  CONCLUSIONS	35
REFERENCES	37

LIST OF TABLES
Table 1 Descriptive statistics for the rates of changes of the variables	24
Table 2 Estimation results of alternate GARCH(1,1) models in whole sample	29	
Table 3A: Estimation results of alternate GARCH(1,1) model in whole sample, considering the sensitivities of expected and unexpected interest rate	31	
Table 3B: Estimation results of alternate GARCH (1,1) model using dummy variables in expansive and restrictive periods	
	33	





 
LIST OF FIGURES
Figure 1  Flowchart research framework 	5
Figure 2  Share movements for REITs total return index and Federal fund            rate	25

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