IDEAS home Printed from https://ideas.repec.org/a/ire/issued/v25n022022p217-236.html
   My bibliography  Save this article

Office Property Pricing and Macroeconomic Shocks: European Regions through the Real Estate Cycle

Author

Listed:
  • Elmar Lang

    (EBS Universität für Wirtschaft und Recht)

  • Ferdinand Mager

    (EBS Universität für Wirtschaft und Recht)

  • Kerstin Hennig

    (EBS Universität für Wirtschaft und Recht)

Abstract

We study the relation between European office prices and their fundamentals by using a panel dataset of 29 major European cities over 25 years. We control for the dotcom crisis, global financial crisis (GFC), and sovereign debt crisis to analyze the varying impact of our variables. We find real estate variables such as rent and vacancies to be the most important factors in explaining for office values. For the European Monetary Union, we find monetary policy measures played a considerable role only during the GFC. For Europe as a whole, monetary policy variables are less important. We document a strong negative linkage of the risk premium of investors to office prices during crisis times, but not in normal times. The dotcom crisis left European office prices almost unaffected. The German and Swiss office markets exhibit safe haven characteristics.

Suggested Citation

  • Elmar Lang & Ferdinand Mager & Kerstin Hennig, 2022. "Office Property Pricing and Macroeconomic Shocks: European Regions through the Real Estate Cycle," International Real Estate Review, Global Social Science Institute, vol. 25(2), pages 217-236.
    • Handle: RePEc:ire:issued:v:25:n:02:2022:p:217-236
    as

    Download full text from publisher

    File URL: https://www.gssinst.org/irer/wp-content/uploads/2022/07/v25-no2-3_Office-Property-Pricing-and-Macroeconomic-Shocks_European-Regions-through-the-Real-Estate-Cycle.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Dobson, S M & Goddard, J A, 1992. "The Determinants of Commercial Property Prices and Rents," Bulletin of Economic Research, Wiley Blackwell, vol. 44(4), pages 301-321, October.
    2. Ansgar Belke & Walter Orth & Ralph Setzer, 2008. "Sowing the seeds for the subprime crisis: does global liquidity matter for housing and other asset prices?," International Economics and Economic Policy, Springer, vol. 5(4), pages 403-424, December.
    3. Rahul Srivatsa & Stephen L. Lee, 2012. "European real estate market convergence," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(5), pages 458-472, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kazushi Matsuo & Morito Tsutsumi & Toyokazu Imazeki, 2023. "Asymmetric Dynamics of Rent and Vacancy Rates in the Tokyo Office Market," International Real Estate Review, Global Social Science Institute, vol. 26(1), pages 1-41.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Richard Malle, 2010. "Un modèle à équations simultanées du cycle des bureaux en région parisienne," Économie et Prévision, Programme National Persée, vol. 194(3), pages 93-108.
    2. Anna Alberini, 2007. "Determinants And Effects On Property Values Of Participation In Voluntary Cleanup Programs: The Case Of Colorado," Contemporary Economic Policy, Western Economic Association International, vol. 25(3), pages 415-432, July.
    3. Faia, Ester & Iliopulos, Eleni, 2011. "Financial openness, financial frictions and optimal monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1976-1996.
    4. Razmi, Fatemeh & Azali, M. & Chin, Lee & Shah Habibullah, Muzafar, 2016. "The role of monetary transmission channels in transmitting oil price shocks to prices in ASEAN-4 countries during pre- and post-global financial crisis," Energy, Elsevier, vol. 101(C), pages 581-591.
    5. Nam Kyoon N. Kim & Simon C. Parker, 0. "Entrepreneurial homeworkers," Small Business Economics, Springer, vol. 0, pages 1-25.
    6. Nam Kyoon N. Kim & Simon C. Parker, 2021. "Entrepreneurial homeworkers," Small Business Economics, Springer, vol. 57(3), pages 1427-1451, October.
    7. Ansgar Belke & Jonas Keil, 2018. "Fundamental Determinants of Real Estate Prices: A Panel Study of German Regions," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(1), pages 25-45, February.
    8. Michael Berlemann & Julia Freese & Sven Knoth, 2020. "Dating the start of the US house price bubble: an application of statistical process control," Empirical Economics, Springer, vol. 58(5), pages 2287-2307, May.
    9. Dreger, Christian & Wolters, Jürgen, 2011. "Liquidity and Asset Prices: How Strong Are the Linkages?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 1, pages 43-52.
    10. Michael Berlemann & Julia Freese & Sven Knoth, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," CESifo Working Paper Series 3962, CESifo.
    11. Allison M. Orr & Colin Jones, 2003. "The Analysis and Prediction of Urban Office Rents," Urban Studies, Urban Studies Journal Limited, vol. 40(11), pages 2255-2284, October.
    12. Ansgar Belke & Marcel Wiedmann, 2013. "Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models," Ruhr Economic Papers 0435, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    13. I. R. Aliu, 2016. "Marginal land use and value characterizations in Lagos: untangling the drivers and implications for sustainability," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 18(6), pages 1615-1634, December.
    14. Ansgar Belke & Marcel Wiedmann, 2013. "Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models," ROME Working Papers 201308, ROME Network.
    15. Dominika Ehrenbergerova & Josef Bajzik, 2020. "The Effect of Monetary Policy on House Prices - How Strong is the Transmission?," Working Papers 2020/14, Czech National Bank.
    16. Ansgar Belke & Marcel Wiedmann, 2018. "Dissecting long-run and short-run causalities between monetary policy and stock prices," International Economics and Economic Policy, Springer, vol. 15(4), pages 761-786, October.
    17. Dominika Ehrenbergerova & Josef Bajzik & Tomas Havranek, 2023. "When Does Monetary Policy Sway House Prices? A Meta-Analysis," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(2), pages 538-573, June.
    18. Alessandra Canepa & Emilio Zanetti Chini & Huthaifa Alqaralleh, 2022. "Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 64(1), pages 1-29, January.
    19. Belke Ansgar, 2010. "Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise – Ein ARDL-Ansatz für Deutschland / Money, Credit and House Prices – An ARDL-Approach for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(2), pages 138-162, April.
    20. Michal Hlavacek & Ondrej Novotny & Marek Rusnak, 2014. "Office Property in Central European Countries," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2013/2014, chapter 0, pages 148-155, Czech National Bank.

    More about this item

    Keywords

    European office properties; Real estate cycle; Crisis analysis; Macroeconomic shocks;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:25:n:02:2022:p:217-236. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: IRER Graduate Assistant/Webmaster (email available below). General contact details of provider: https://www.gssinst.org/gssinst/index.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.