How Do Capital Requirements Affect Loan Rates? Evidence from High Volatility Commercial Real Estate

Commercial Real Estate Return Cycles : Do Capital Flows Matter ?

This paper examines the shortand long-run dynamics among institutional capital flows and returns in private real estate markets. The main tool of analysis we employ is a vector autoregressive (VAR) regression model in which both institutional capital flows and returns are specified as endogenous variables in a two equation simultaneous system and in which we also control for various financial a...

How Integrated Is the Commercial Real Estate Asset Market? Evidence from Transaction Cap Rates

This paper empirically measures the integration of the asset market of commercial real estate by studying the respective explanatory power of three types of variables – macroeconomic conditions, local market conditions, and property attributes – for property transaction cap rates. Results from analyzing about 10,000 sales of institutional grade commercial properties from 1977 to 2012 indicate t...

Interest Rate and Investment under Uncertainty: Evidence from Commercial Real Estate Capital Improvements

This paper empirically analyzes the non-monotonic influence that interest rate changes have on irreversible investment in income producing properties. Using the complete history of quarterly capital improvements for 1,416 commercial properties over the 1978 to 2009 period, we find strong evidence of the non-monotonic effect for apartment, office, and retail properties, but not for industrial pr...

Do Real Estate Shocks Affect Corporate Investment?

Do macro-economic news announcements affect the volatility of foreign exchange rates? Some evidence from Australia

This paper investigates the role of Australian macro-economic announcement news on ® ve major Australian dollar (AUD) exchange rates. Speci® cally, the daily changes of the exchange rates are modelled to ascertain the existence and the nature of the news e€ ects in the conditional mean and variance of the changes. It is found that a higher than expected current account de® cit and unemployment ...