Quantifying Return Spillovers in Global Real Estate Markets

Agyemang, Abraham; Chowdhury, Iftekhar Hasan; Balli, Faruk

doi:10.1016/j.jhe.2021.101781

Cited by 11 publications

(1 citation statement)

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“…There is also substantial literature on spillovers in real estate markets across different countries using these econometric techniques. For example, Agyemang et al (2021) use a sample of 18 real estate markets covering four decades and find that the UK and the USA are the largest transmitters. By contrast, France, followed by Italy, Finland and Ireland, are the heaviest recipients of return shocks.…”

Section: Related Literaturementioning

confidence: 99%

Comovements and spillovers in international commercial and residential real estate markets

Kishor

2022

JERER

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PurposeThis study aims to know to what extent do the commercial and residential estate markets move together in different economies? Do the shocks originating in one of these markets spillover to the other markets?Design/methodology/approachThe authors apply a modified version of the dynamic factor model to commercial and residential real estate prices in the Euro area, Hong Kong, Singapore and the USA. This modified dynamic factor model decomposes price growth in these two real estate markets into common, spillover and idiosyncratic components.FindingsThe results show significant heterogeneity in the relative importance of different components in the evolution of commercial and residential price growth across different economies. The findings suggest that the spillover from the residential to commercial real estate market dominates the spillover from the commercial to real estate market for all the economies in our sample. The authors also find that the common component accounts for a large fraction of the price movements in the residential markets in the European Union (EU) area and the USA, whereas spillover and common components together explain more than two-thirds of the variations in Hong Kong and Singapore. The results suggest that the role of spillover from one market to another increased significantly during the financial crisis of 2008–2009.Originality/valueThis paper contributes to the existing literature on how the transmission of shocks takes place across commercial and residential real estate markets. The transmission of shocks can take place in two directions in the proposed framework. There may be a direct spillover from a shock from one market to another. This corresponds to a shock to the idiosyncratic component affecting the other idiosyncratic component. In this paper, the authors are mainly interested in indirect spillover where the shock would transmit from the idiosyncratic factor to the common factor, and then from the common factor to the other idiosyncratic factor.

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Section: Related Literaturementioning

confidence: 99%

Comovements and spillovers in international commercial and residential real estate markets

Kishor

2022

JERER

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Identification of house price bubbles using robust methodology: evidence from Polish provincial capitals

Tomal

2021

J Hous and the Built Environ

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This article aims to check whether there has been a price bubble in the Polish major housing markets in recent years. To accomplish this goal, the log price-to-rent ratios in Polish provincial cities were analysed. In order to avoid incorrect conclusions, the log price-to-rent ratio using the instrumental variable estimation and ordinary least squares methods was decomposed into two components: fundamental and non-fundamental. The latter was then examined using the Phillips, Shi, and Yu procedure to detect explosive and downward movements. The results of the study showed that, in general, over 2011, actual log price-to-rent ratios in the analysed cities were below their fundamental values, i.e., a negative price bubble existed. However, more or less since the beginning of 2013, the surveyed markets have seen an increasing level of the non-fundamental component of the index under study, and its particularly explosive movements are visible in the first quarters of 2014. Finally, this analysis indicated future research directions and study implications for Polish policy-makers, housing investors, and households.

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Exploring the dilemma of enterprises participating in the old community renewal: Perspective of managers

Liu,

Huang,

et al. 2024

Cities

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Quantifying Return Spillovers in Global Real Estate Markets

Cited by 11 publications

References 46 publications

Comovements and spillovers in international commercial and residential real estate markets

Comovements and spillovers in international commercial and residential real estate markets

Identification of house price bubbles using robust methodology: evidence from Polish provincial capitals

Exploring the dilemma of enterprises participating in the old community renewal: Perspective of managers

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