本研究旨在探討於專業經理人管理之下，將資金投資於不動產相關資產上，藉由多角化分散投資風險，是否較能對抗總體經濟面因素之影響或說對於總體經濟的衝擊，投資報酬反應為何。本研究以發展成熟的美國不動產投資信託市場為例，研究標的以FTSE NAREIT US Real Estate Index為代表，區分為四種型態的REITs，包含：Equity REITs、Mortgage REITs、Hybrid REITs及All REITs，援引Sims(1980)提出之向量自我迴歸模型及其應用方法：衝擊反應分析和預測誤差變異數分解進行實證。
實證結果顯示：除了Hybrid REITs之外，貼現率的改變大致上對於REITs報酬均呈現負向的影響。REITs報酬短時間內無法完全有效地對抗通貨膨脹，致使貨幣購買力損失。而所得成長僅對Hybrid REITs報酬和All REITs報酬造成負向影響。違約風險衝擊則對四種型態REITs報酬均不顯著影響，表示REITs確實具有能規避風險的特性。此外，四種型態REITs報酬變異程度均主要來自於自身所發生的干擾所致。

This study investigates whether REITs provide a better hedge against macroeconomic shocks; namely, the impact of the macroeconomy on REITs returns. The methodology of Sims (1980) and its applications: impulse response analysis and variance decomposition are employed to investigate this question. Four NAREIT indexes, including equity, mortgage, hybrid and all REIT are examined.
The results show that discount rate change, with the exception of hybrid REITs, has a negative impact across the other types of REITs. Returns on REITs appear to be unable to hedge against inflation in the short-run. The growth in income only has a negative impact on the return of hybrid and all REITs whereas the default risk has an insignificant impact across the four types of REITs. For any of the REITs, the primary source of explanation to the forecast error is itself.

第一章 緒論 1
第二章 文獻回顧 4
第三章 研究方法 8
3.1 研究範圍 8
3.2 變數定義與處理說明 8
3.3 計量方法 10
3.3.1 恆定性數列 10
3.3.2 單根檢定 12
3.3.3 向量自我迴歸模型 15
3.3.4 衝擊反應分析 17
3.3.5 預測誤差變異數分解 18
第四章 實證結果分析 20
第五章 結論 33
附錄一 35
參考文獻 37

圖目錄
圖一 Equity REITs報酬對自身及各個總體經濟變數之衝擊反應分析圖 25
圖二 Mortgage REITs報酬對自身及各個總體經濟變數之衝擊反應分析圖 27
圖三 Hybrid REITs報酬對自身及各個總體經濟變數之衝擊反應分析圖 29
圖四 All REITs報酬對自身及各個總體經濟變數之衝擊反應分析圖 31
圖五 Equity REITs報酬走勢圖 42
圖六 Mortgage REITs報酬走勢圖 42
圖七 Hybrid REITs報酬走勢圖 42
圖八 All REITs報酬走勢圖 43
圖九 所得成長率走勢圖 43
圖十 通貨膨脹率走勢圖 43
圖十一 違約風險溢酬走勢圖 44
圖十二 貼現率走勢圖 44

表目錄
表一 各變數之單根檢定 20
表二 VAR落後期數選取 23
表三 Equity REITs報酬之變異數分解 26
表四 Mortgage REITs報酬之變異數分解 28
表五 Hybrid REITs報酬之變異數分解 30
表六 All REITs報酬之變異數分解 32

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