Do Commercial Real Estate Prices Have Predictive Content for GDP
AbstractUsing a uniquely compiled database concerning rental prices of commercial real estates, which are property of the largest broker in the Netherlands, we examine if these prices have predictive value for quarterly economic growth. In contrast to related studies, we document that the mean price contains no relevant information, whereas other properties of the price distributions have. We show that these distributions can be described by mixtures of two distributions, reflecting low-end and high-end price segments. Our main findings are that higher economic growth is predictable from more new buildings being rented, more variation in the price levels and a larger size of the low-price segment, while lower economic growth emerges when the differences in prices between high-end and low-end segments increase and when the average price level in the low-price segment increases.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute in its series Econometric Institute Research Papers with number EI 2012-12.
Date of creation: 01 Jun 2012
Date of revision:
Other versions of this item:
- Philip Hans Franses & Bert De Groot, 2013. "Do commercial real estate prices have predictive content for GDP?," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(31), pages 4379-4384, November.
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