本文主要是探究台灣股票、不動產和不動產投資信託是否具有對抗通貨膨脹的效果。採用2006年1月至2017年12月期間的數據，並以含租金、不含租金及購買頻度等三種消費者物價指數作為衡量通貨膨脹，分別探討股票、不動產與不動產投資信託跟三種物價指數間的抗通貨膨脹能力。研究中運用動態最小平方法(Dynamic OLS)檢測長期下序列間是否具有共整合關係，接著再利用誤差修正模型(Error Correction Model)分析短期下資產的避險能力及確認長期下是否存在長期均衡關係。實證結果顯示，長期下，不動產和不動產投資信託具有明顯的對抗通貨膨脹的能力，而股票在非預期通貨膨脹率之間為負向關係，表示股票對於非預期通貨膨脹是無法提供避險效果。最後經誤差修正模型調整結果，發現其明顯證據支持長期下存在長期均衡關係，以不動產為最佳，次之，不動產投資信託，而股票效果是最差的。結果表示投資者選擇投資於房地產會提供較佳的通貨膨脹避險能力。

The main purpose of this paper is to examine whether Stock, Real estate, and Real Estate Investment Trust return-inflation relation in Taiwan for the sample period of 2006.01 to 2017.12, used three kinds of consumer price index by Including Rent, Excluding Rent and Frequency of Purchase Group as estimate inflation. Respectively examine Stock, Real Estate, and Real Estate Investment Trust return with inflation relationship.
First, apply the Dynamic OLS (Stock and Watson,1993) to test whether cointegration relation in a long time, then Error Correction Model analyzes the asset whether hedge against inflation in short period and confirm the cointegration relation in the long period.
The result shows Real Estate and Real Estate Investment Trust have a proof against hedge inflation in the long run. But, stock return and unexpected inflation are negative relationships, therefore proving only expected inflation can hedge of stock investment. Finally, error correction model results from support to the Long-term equilibrium relationship, the real estate is the best, followed by real estate investment trusts, and the stock was the worst. The result suggests that investors who invest in real estate will provide hedges against inflation

第一章 緒論 1
第一節 前言 1
第二節 研究目的 4
第三節 研究架構 5
第二章 文獻回顧與探討 7
第一節 股票對抗通貨膨脹能力相關文獻 7
第二節 不動產對抗通貨膨脹能力相關文獻 9
第三節 不動產證券化和不動產投資信託對抗通貨膨脹能力相關文獻 11
第三章 研究方法 17
第一節 單根檢定(Unit Root test) 17
第二節 長期關係模型(Dynamic OLS) 19
第三節 誤差修正項模型(Error-correction-model) 21
第四章 實證結果與分析 23
第一節 樣本介紹與敘述統計 23
第二節 單根檢定結果 28
第三節 長期迴歸模型結果 30
第四節 短期迴歸模型結果 44
第五章 結論 81
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