Real Estate Income and Value Cycles: A Model of Market Dynamics
We develop a theoretical real estate cycles model linking economic fundamentals to real estate income and value. We estimate and test an econometric model specification, based on the theoretical model, using MSA level data for twenty office markets in the United States. Our major conclusion is that cities that exhibit seemingly different cyclical office market behavior may be statistically characterized by our three-parameter econometric specification. The parameters are MSA-specific amplitude, through the CAP rate, cycle duration (peak-to-peak), via the rate of partial adjustments to changing expectations about stabilized NOI and the market trend.
Volume (Year): 18 (1999)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: |
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Stephen A. Pyhrr & Waldo L. Born & James R. Webb, 1990. "Development of a Dynamic Investment Strategy under Alternative Inflation Cycle Scenarios," Journal of Real Estate Research, American Real Estate Society, vol. 5(2), pages 177-194.
- Grenadier, Steven R, 1995. "The Persistence of Real Estate Cycles," The Journal of Real Estate Finance and Economics, Springer, vol. 10(2), pages 95-119, March.
- Waldo L. Born & Stephen A. Pyhrr, 1994. "Real Estate Valuation: The Effect of Market and Property Cycles," Journal of Real Estate Research, American Real Estate Society, vol. 9(4), pages 455-486.
- Leo Grebler & Leland S. Burns, 1982. "Construction Cycles in the United States Since World War II," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 10(2), pages 123-151.
- John S. Hekman, 1985. "Rental Price Adjustment and Investment in the Office Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(1), pages 32-47.
- Yoon Dokko & Robert H. Edelstein & Marshall Pomer & E. Scott Urdang, 1991. "Determinants of the Rate of Return for Nonresidential Real Estate: Inflation Expectations and Market Adjustment Lags," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(1), pages 52-69.
- Meese Richard & Wallace Nancy, 1994. "Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco?," Journal of Urban Economics, Elsevier, vol. 35(3), pages 245-266, May.
- Richard K. Green, 1997.
"Follow the Leader: How Changes in Residential and Non-residential Investment Predict Changes in GDP,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 25(2), pages 253-270.
- Richard K. Green, 1996. "Follow the Leader: How Changes In Residential and Non-Residential Investment Predict Changes in GDP," Wisconsin-Madison CULER working papers 96-05, University of Wisconsin Center for Urban Land Economic Research.
- Clayton P. Pritchett, 1977. "The Effect of Regional Growth Characteristics on Regional Housing Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 5(2), pages 189-208.
- Richard Voith & Theodore Crone, 1988. "National Vacancy Rates and the Persistence of Shocks in U.S. Office Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(4), pages 437-458.
- Dwight M. Jaffee & Kenneth T. Rosen, 1979. "Mortgage Credit Availability and Residential Construction," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 10(2), pages 333-386.
- Dokko, Yoon & Edelstein, Robert H & Urdang, E Scott, 1990. "Does Credit Rationing Affect Residential Investment? Deja Vu All Over Again," The Journal of Real Estate Finance and Economics, Springer, vol. 3(4), pages 357-71, December.
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:18:n:1:1999:p:69-96. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.