Geographic Proximity and Competition for Scarce Capital: Evidence from U.S. Reits

Wang, Chong-Yu; Cohen, Jeffrey P.; Glascock, John L.

doi:10.2139/ssrn.3543525

Cited by 2 publications

(2 citation statements)

References 27 publications

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“…For the US market, Wang et al (2020) studied the problem of spatial competition among Real Estate Investment Trusts (REITs) across different states in terms of the degree of interdependence in financial capital demand. They find that REITs compete for financial capital with REITs in other states and there exist feedback effects, which imply amplified crowding out of financial capital when other REITs in nearby states increase financial capital demand.…”

Section: Introductionmentioning

confidence: 99%

Contemporaneous causality among office property prices of major Chinese cities with vector error correction modeling and directed acyclic graphs

Xu,

Zhang

2023

JM2

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Purpose This study aims to investigate dynamic relations among office property price indices of 10 major cities in China for the years 2005–2021. Design/methodology/approach Using monthly data, the authors adopt vector error correction modeling and the directed acyclic graph for the characterization of contemporaneous causality among the 10 indices. Findings The PC algorithm identifies the causal pattern, and the linear non-Gaussian acyclic model algorithm further determines the causal path from which we perform innovation accounting analysis. Sophisticated price dynamics are found in price adjustment processes following price shocks, which are generally dominated by the top tier of cities. Originality/value This suggests that policies on office property prices, in the long run, might need to be planned with particular attention paid to the top tier of cities.

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Section: Introductionmentioning

confidence: 99%

Contemporaneous causality among office property prices of major Chinese cities with vector error correction modeling and directed acyclic graphs

Xu,

Zhang

2023

JM2

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“…Particularly, they use transaction volume information in examining price information transmissions and find that these cities could be categorized into prime senders, exchange centers and prime receivers based primarily upon the city hierarchy and certain economic drivers. For international housing markets, research on price relations is also being actively pursued (Wang et al , 2020; Tsai and Lin, 2019; Zhu et al , 2013). For example, Tsai and Lin (2019) focus on the US market and suggest that increasing housing price connectednesses across regions are associated with elevated systematic risks, which could further influence connectednesses between real estate assets and other financial assets.…”

Section: Introductionmentioning

confidence: 99%

Network analysis of comovements among newly-built residential house price indices of seventy Chinese cities

Zhang²

2022

IJHMA

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Purpose Understandings of house prices and their interrelationships have undoubtedly drawn a great amount of attention from various market participants. This study aims to investigate the monthly newly-built residential house price indices of seventy Chinese cities during a 10-year period spanning January 2011–December 2020 for understandings of issues related to their interdependence and synchronizations. Design/methodology/approach Analysis here is facilitated through network analysis together with topological and hierarchical characterizations of price comovements. Findings This study determines eight sectoral groups of cities whose house price indices are directly connected and the price synchronization within each group is higher than that at the national level, although each shows rather idiosyncratic patterns. Degrees of house price comovements are generally lower starting from 2018 at the national level and for the eight sectoral groups. Similarly, this study finds that the synchronization intensity associated with the house price index of each city generally switches to a lower level starting from early 2019. Originality/value Results here should be of use to policy design and analysis aiming at housing market evaluations and monitoring.

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Geographic Proximity and Competition for Scarce Capital: Evidence from U.S. Reits

Cited by 2 publications

References 27 publications

Contemporaneous causality among office property prices of major Chinese cities with vector error correction modeling and directed acyclic graphs

Contemporaneous causality among office property prices of major Chinese cities with vector error correction modeling and directed acyclic graphs

Network analysis of comovements among newly-built residential house price indices of seventy Chinese cities

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