考量通膨不確定性下不動產信託報酬對貨幣政策之反應
學年 101
學期 1
出版（發表）日期 2012-08-01
作品名稱 考量通膨不確定性下不動產信託報酬對貨幣政策之反應
作品名稱（其他語言） The Reaction of Reit Returns to the Monetary Policy under Uncertain Inflation
著者 邱建良
單位 淡江大學財務金融學系
描述 計畫編號：NSC101-2410-H032-031
 研究期間：201208~201307
 研究經費：255,000
委託單位 行政院國家科學委員會
摘要 This study investigates whether an asymmetric the effects of monetary policy exist in the U.S. real estate investment trusts (REITs) market utilizing Markov regime-switching model and threshold autoregressive model (TAR) over the period January 1972 to December 2010. In Contrast with the previous researches, the major contributions of this study are threefold: first, 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 effects of monetary policy to capture whether the effects of expected and unexpected effects of monetary policy on REITs returns equivalent to other asset sectors. For the robustness we use different measures of monetary policy to repeat the empirical work. Second, after considering the high and low growth of price, we argue that the effects of trade-off relationships between price growth and monetary policy exist in REITs sector. It will explain why REITs returns lose inflation-hedging function. In particular, the effects in the inflation period will be larger than in the low price growth period. Final, past studies as Cover (1992) pointed that there is an asymmetric effect in the performance of unexpected monetary policy. This study, therefore, also further separated the unexpected monetary policy into positive and negative shocks. Whether negative and positive unexpected monetary policy shocks have different effects on REITs returns 這篇文章藉由馬可夫轉換模型與門檻自我迴歸模型檢測貨幣政策施行是否對於美 國不動產投資信託(REITs)市場存在著不對稱性的效果，樣本期間選定1972 年1 月至 2010 年12 月。有別於過去研究，這篇文章的主要貢獻有三點：首先，我們利用現金流 量折現模型建立理論架構，來探討總體經濟變數對於REITs 報酬之影響。並進一步區分 預期與非預期的貨幣政策效果，以了解預期與非預期的貨幣政策對於REITs 報酬的影響 是否與其他資產部門一樣。而為使結果更具穩健性，我們將使用不同的貨幣政策代理變 數進行反覆的實證分析。其次，在考慮高低物價成長下，我們認為在物價成長與貨幣政 策的抵換關係存在於REITs 部門，此現象將可解釋為何REITs 報酬會喪失物價膨脹避險 的功能，尤其在高物價膨脹期間此抵換效果將會比低物價膨脹期間顯著。最後，如同過 去研究(Cover, 1992)所指出非預期貨幣政策運作的不對稱效果。因此，本研究亦進一步 將非預期貨幣政策區分正與負的衝擊，分析正與負的非預期貨幣政策衝擊對於REITs 報 酬是否存在不同的效果。
關鍵字 貨幣政策; 不動產信託報酬; 不對稱性效果; Monetary Policy; REITs return; Asymmetric effect
語言 zh_TW
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