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題名：房地產報酬可否抵抗通貨膨脹?台灣經驗
作者：阮氏清萍
作者(外文)：Thanh Binh
校院名稱：逢甲大學
系所名稱：商學研究所
指導教授：方文碩
學位類別：博士
出版日期：2007
主題關鍵詞：房地產；通貨膨脹；經濟成長；EGARCH 模型；結構性改變；槓桿效果；台灣.；Real estate；Inflation；Leverage effect；EGARCH model；Housing Returns；Inflation Hedge；Economic Growth；Structural Break；Taiwan.
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本論文主要研究目的在檢驗台灣房地產市場在短期內是否可規避(hedge)預期與未預期的通貨膨脹，即房地產報酬的增加是否可減低因通貨膨脹上升致使財富或購買力減少的成本增加，研究期間從1991至2006年的月資料。我們考慮條件異質的風險(波動)對房地產報酬的影響，以及訊息不對稱對條件風險的影響，估計不對稱的EGARCH-M模型。實證結果發現，預期與未預期通貨膨脹對台灣房地產報酬的影響均為負，投資台灣房地產無法規避通貨膨脹，此原因可能是台灣房地產市場存在市場壞消息衝擊大於等量好消息衝擊的槓桿效果•
研究台灣房地產市場在長期是否可規避通貨膨脹以及房市的發展對經濟成長是否有所貢獻，我們考慮了GDP、 CPI等2個總體變數• .實證結果發現,考慮結構改變的影響, 三個變數之間不存在長期共整合關係; 因果關係的檢定結果顯示, GDP的成長會影響通貨膨脹, 而GDP成長與房價報酬不存在因果關係, 另一個有趣的發現, 考慮時間趨勢的存在, 通貨膨脹對房價報酬的影響為負向, 而房價報酬對通貨膨脹的影響卻為正. 我們的結論是, 台灣的房市投資, 在長期可對抗通貨膨脹, 另外, 長期來看房市發展不但是通貨膨脹的直接信號，更為經濟成長的間接信號。
This dissertation aims at examining whether Taiwan''s real estate hedges against the expected as well as unexpected inflation in the short-run. It further investigates if a raise in real estate return could reduce the cost that is added by the shrink in wealth and purchasing power. Within the asymmetric EGARCH-M model framework, the impact of conditional hetero-risk (volatility) on real estate return and the influence of asymmetric information on conditional risk are explored. Over the period from 1991 to 2006, the empirical results show that the relationship between the real estate return and the expected/unexpected inflation is negative, which proves the ineffective inflation hedge of real estate. The main reason of this phenomenon is the leverage shock between the “good” news and “bad” news.
Meanwhile, it also investigate the inflation hedging effectiveness of housing investment in the long-run and the housing-macroeconomic nexus in Taiwan with the presence of structural breaks. The empirical results provide evidence of biased long-run relationship among Taiwan’s housing prices, real GDP per capita and Consumer price when the structural breaks are ignored. Particularly, Taiwan’s housing return is found to be a direct indicator of inflation and an indirect indicator of economic growth. These results imply that Taiwan’s housing returns are not only able to non-synchronally hedge against inflation in the long-run, but also a signal of business cycle.
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