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@article{ART001507492},
author={Lee， Su－Jeong and Joo Hyun Cho},
title={Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2010},
volume={20},
number={2},
pages={133-152}

TY - JOUR
AU - Lee， Su－Jeong
AU - Joo Hyun Cho
TI - Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model
JO - Korea Real Estate Review
PY - 2010
VL - 20
IS - 2
PB - korea real estate research institute
SP - 133
EP - 152
SN - 2092-5395
AB - The capitalization rate(Cap Rate) is used as the investment indicator of the institutional investors needed in making a reasonable investment decision and is a meaningful indicator to the real estate market. Recently, foreign studies have shown that the capital market has tended to have a gradually increasing effect on the Cap Rate of the office building. This study includes theoretical investigation of the Cap Rate as well as analyzing what effect the macroeconomic factors of the capital market had on it. And it attempted to analyze the Cap Rate determinants of the Seoul office market using the Vector Error Correction Model. As a result, it was found that the Cap Rate was influenced by the corporate bond, one of macroeconomic variables, and by office supply, those of the variables related to real estate market. The Cap Rate spread is a deduction of the risk-free rate from the Cap Rate and influenced by KOSPI as one of macroeconomic variables, and office supply as one of the variables related to real estate market. The results of variance decomposition showed that both the Cap Rate and the Cap Rate spread had the absolutely high explanatory power of such macroeconomic variables as KOSPI and corporate bond than real estate market related variables. This result shows that the Cap Rate of the Seoul office market had the phenomenon of synchronizing with the capital market.
KW - cap rate;VECM;macroeconomic factors;capital market;co-movement
DO -
UR -
ER -

Lee， Su－Jeong and Joo Hyun Cho. (2010). Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model. Korea Real Estate Review, 20(2), 133-152.

Lee， Su－Jeong and Joo Hyun Cho. 2010, "Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model", Korea Real Estate Review, vol.20, no.2 pp.133-152.

Lee， Su－Jeong, Joo Hyun Cho "Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model" Korea Real Estate Review 20.2 pp.133-152 (2010) : 133.

Lee， Su－Jeong, Joo Hyun Cho. Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model. 2010; 20(2), 133-152.

Lee， Su－Jeong and Joo Hyun Cho. "Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model" Korea Real Estate Review 20, no.2 (2010) : 133-152.

Lee， Su－Jeong; Joo Hyun Cho. Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model. Korea Real Estate Review, 20(2), 133-152.

Lee， Su－Jeong; Joo Hyun Cho. Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model. Korea Real Estate Review. 2010; 20(2) 133-152.

Lee， Su－Jeong, Joo Hyun Cho. Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model. 2010; 20(2), 133-152.

Lee， Su－Jeong and Joo Hyun Cho. "Analysis on the Determinants of the Cap Rate in Seoul Office Market using the Vector Error Correction Model" Korea Real Estate Review 20, no.2 (2010) : 133-152.