Multifamily residential asset and space markets and linkages with the economy

Hoesli, Martin E.; Chaney, Alain

doi:10.1080/09599916.2014.913656

Scientific article

English

Multifamily residential asset and space markets and linkages with the economy

Contributors

Hoesli, Martin E.; Chaney, Alain

Published in

Journal of property research, vol. 32, no. 1, p. 50-76

Publication date

2015

Abstract

This paper analyzes the linkages between the commercial real estate market and the economy. We maintain that a proper assessment of those linkages requires state of the art modeling techniques which treat economic variables endogenously and allow for a number of long-run relationships. We therefore use a long-run structural modeling approach, which incorporates equilibrium relationships that are predicted by economic theory, in an otherwise unrestricted VAR model. The application of this approach to Swiss data for the period 1974Q1–2012Q2 shows that four long-run equilibrium relations exist among inflation, long and short term interest rates, real M2, real GDP, real construction expenditures, real market rents, and capitalization rates. The analysis of the short-run dynamics additionally suggests that the linkages between the real estate and economic variables are bi-directional. Our results should provide for a better understanding of risks borne by investors as well as of the impacts of market interventions by policy makers.

Keywords

Commercial Real Estate
Macro Economy
Error Correction Models
Cointegrated VAR
Long-Run Equilibrium Modeling

UNIGE affiliation entities

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

HOESLI, Martin E., CHANEY, Alain. Multifamily residential asset and space markets and linkages with the economy. In: Journal of property research, 2015, vol. 32, n° 1, p. 50–76. doi: 10.1080/09599916.2014.913656

Article (Accepted version)

Identifiers

PID : unige:45121
DOI : 10.1080/09599916.2014.913656

Additional URL for this publication

http://www.tandfonline.com/10.1080/09599916.2014.913656

Journal ISSN

0959-9916

901views

825downloads

Creation

12/01/2015 17:09:00

First validation

12/01/2015 17:09:00

Update

14/03/2023 22:40:14

Status update

14/03/2023 22:40:13

Last indexation

30/10/2024 22:11:10

Multifamily residential asset and space markets and linkages with the economy

Contributors

Published in

Publication date

Abstract

Keywords

UNIGE affiliation entities

Citation (ISO format)

Main files (1)

Identifiers

Additional URL for this publication

Journal ISSN

Technical informations

Creation

First validation

Update

Status update

Last indexation