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A Study on the Relation of Commercial Real Estate Market and Macroeconomic factors
Korea Real Estate Review
2010,
20(1), pp.87-113
Publisher : korea real estate research institute
Research Area : Law of Real Estate
Publisher : korea real estate research institute
Research Area : Law of Real Estate
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This study considers whether real estate and stock markets have Co-movement relationship in short-term. First, Our results offer reasonable support for strong Co-movement relationship between Commercial real estate price, stock market price and key macroeconomic factors. The implication is that where Co-movement relationship prevails, Commercial real estate and common stocks are substitutable assets over the short run and these assets may not be held together in a portfolio for diversification purpose. Secondly, The stock, T-bill influence commercial real estate market and GNP negatively affect the Vacancy, Rental market is affected by the capital markets and commercial real estate price. Third, the residential real estate market and the macroeconomic relationship did not appear. suggesting that other factors are at play. Our results reinforce the notion that vector autoregressive (VAR) and short-run dynamics are important in understanding market integration or segmentation Furthermore, Commercial real estate returns are found to be positively associated with stock returns, but negatively related to bond returns. Financial assets contribute greatly to the variance of Commercial real estate, while the impact of stock and T-bill is long and large.
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