Macroeconomic Growth, Real Estate Market Conditions, and the Time Series Dynamics of CMBS Loan Default Risk

2009 ◽  
Author(s):  
Xudong An
Keyword(s):  
Time Series ◽  
Real Estate ◽  
Default Risk ◽  
Real Estate Market ◽  
Market Conditions ◽  
Loan Default ◽  
Macroeconomic Growth

scholarly journals REAL ESTATE MARKET RISK IN BANK STOCK RETURNS: EVIDENCE FOR 15 EUROPEAN COUNTRIES

2016 ◽  
Vol 20 (2) ◽  
pp. 142-155 ◽  
Author(s):  
António Miguel MARTINS ◽  
Ana Paula SERRA ◽  
Francisco Vitorino MARTINS
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Real Estate Market ◽  
European Countries ◽  
Market Conditions ◽  
High Exposure ◽  
The Real Estate ◽  
Real Estate Sector ◽  
Bank Stock Returns ◽  
Bank Stock

In countries with highly-developed financial systems bank portfolios have high exposure, directly or indirectly, to the real estate sector. Changes in the value of real estate can have a potentially significant impact on the default risk of banks and on their profitability as a result of high exposure to the real estate sector. This is especially critical during real estate crises, when bank losses tend to increase dramatically, placing the entire financial system at risk of collapse, as it was the case of the recent international subprime crisis. This article studies the sensitivity of bank stock returns to real estate returns in 15 European countries. The results indicate that bank stocks are sensitive to real estate market conditions. There is a positive relation between bank stock returns and real estate returns after controlling for general market conditions and interest rates changes.

scholarly journals International Real Estate Review

2017 ◽  
Vol 20 (1) ◽  
pp. 51-73
Author(s):  
Steven Stelk ◽  
◽  
Leonard V. Zumpano ◽  
Keyword(s):  
Real Estate ◽  
Selection Bias ◽  
Real Estate Market ◽  
Residential Real Estate ◽  
Market Conditions ◽  
Home Prices ◽  
Boom And Bust ◽  
The Impact

This study investigates the impact of the brokerage market on home prices in both a seller's market (2006) and a buyer's market (2009). In both years, homes sold with brokerage assistance realized higher prices when compared with homes sold without the aid of a broker, even after controlling for selection bias in the seller¡¦s choice to use a broker. This is the first study that uses a national dataset from extreme boom and bust markets that has documented evidence of price segmentation in the residential real estate market. The findings may be the result of the market conditions in 2006 and 2009.

Interdependence dynamics of corporate equity and public real estate markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Kim Hiang Liow ◽  
Jeongseop Song
Keyword(s):  
Real Estate ◽  
Real Estate Market ◽  
Asset Markets ◽  
Asset Market ◽  
Volatility Spillover ◽  
Market Conditions ◽  
Policy Makers ◽  
Content Type ◽  
Real Estate Markets ◽  
Causal Dependence

PurposeWith growing interdependence between financial markets, the goal of this paper is to examine the dynamic interdependence between corporate equity and public real estate markets for the USA and a select group of seven European developed economies under a cross-country framework in crisis and boom market conditions. Dynamic interdependence is related to four measures of market linkages of “correlation, spillover, connectedness and causality”.Design/methodology/approachThis study adopts a four-step investigation. The authors first estimate “time-varying variance–covariance spillovers and implied correlations” modeled with the bivariate BEKK-MGARCH methods. Second, the methods of Diebold and Yilmaz (2012, 2014) measure the conditional volatility spillover-connectedness effects across the corporate equity and public real estate markets based on a decomposition of the forecast error variance. Third, the authors implement nonlinear bivariate and multivariate causality tests to understand the lead-lag dynamics of the two asset markets' returns, volatilities and net directional volatility connectedness across different sample periods. Finally, the authors conclude the study by providing a portfolio hedging analysis.FindingsThe authors find that corporate equity and public real estate are moderately interdependent to the extent that their diversification benefits increases in the longer term. Moreover, the authors find increased corporate equity-public real estate causal dependence of the market groups of the European and international portfolios during the GFC and INTERCRISIS periods. The nonlinear causality test findings indicate that the joint information of asset markets can be a useful source of prediction for future innovation of market risks. Additionally, policy makers may also be able to employ conditional volatility and volatility connectedness as two other measures to manage market stability in the cross-asset market dependence during highly volatile periods.Research limitations/implicationsOne major take away from this academic research is since international portfolio investors are not only concerned the long-term price relationship but also the correlation structure and volatility spillover-connectedness, the conditional BEKK modeling, generalized risk connectedness analysis and nonlinear causal dependence explorations from this multi-country study can shed fresh light on the nature of market interdependence and magnitude of volatility connectedness effects in a multi-portfolio framework.Practical implicationsThe hedging performance analysis for portfolio diversification and risk management indicates that industrial stocks (“pure” equities) are valuable assets that can improve the hedging performance of a well-diversified corporate equity-public real estate portfolio during crisis periods. For policymakers, the findings provide important information about the nature of causal links and predictability during the crisis and asset-market boom periods. They can then equip with this information to manage and coordinate market stability in cross corporate equity-real estate relationships effectively.Originality/valueAlthough traditional research has in general reported at least a moderate degree of relationship between the two asset markets, investors' knowledge of stock-public real estate market linkage is somewhat inadequate and confine mostly to broad stocks (i.e. stocks that are exposed to public real estate influence) in a single-country context. In this paper, the authors examine the interdependence dynamics in a multi-country (multi-portfolio) context. A clear understanding their changing market relationships in a multi-country context is of crucial importance for portfolio investors, financial institutions and policy makers. Moreover, since the authors use an orthogonal stock market index, the authors allow global investors to understand the potential diversification benefits from stock markets that are beyond the public real estate market under different market conditions.

Co-movement and Forecasting Analysis of Major Real Estate Markets by Wavelet Coherence and Multiple Wavelet Coherence

2017 ◽  
Vol 05 (02) ◽  
pp. 1750010 ◽  
Author(s):  
Cengiz KARATAS ◽  
Gazanfer UNAL ◽  
Adil YILMAZ
Keyword(s):  
Time Series ◽  
Real Estate ◽  
Real Estate Market ◽  
Wavelet Coherence ◽  
Real Estate Markets ◽  
Frequency Space ◽  
Time Frequency ◽  
Dynamic Correlation ◽  
The Usa ◽  
Multiple Wavelet Coherence

Wavelet coherence of time series provides valuable information about dynamic correlation and its impact on time scales. Here, the authors analyze the wavelet coherence of major real estate markets data, and take the USA, Hong Kong of China, Canada, Japan, and Developed Europe real estate market prices as time series. The wavelet coherence results show relationships among these markets, the correlations between the two and three markets (by multiple wavelet coherence) and how these relationships vary in the time-frequency space. These relationships allow the authors to build VARMA models of real estate data which produce forecasts with small errors.

Determinants of foreign and domestic non-listed real estate fund flows in India

2020 ◽  
Vol 38 (6) ◽  
pp. 503-524
Author(s):  
Ashish Gupta ◽  
Graeme Newell ◽  
Deepak Bajaj ◽  
Satya Mandal
Keyword(s):  
Time Series ◽  
Real Estate ◽  
Time Series Data ◽  
Real Estate Market ◽  
Series Data ◽  
Fund Flows ◽  
Content Type ◽  
Empirical Results ◽  
Distributed Lag ◽  
Macroeconomic Determinants

PurposeReal estate forms an important part of any economy and the investment in real estate, in turn, is impacted by the macroeconomic environment of that country. The purpose of the present research is to examine macroeconomic determinants of foreign and domestic non-listed real estate fund (NREF) flows and to examine whether they are similar or different for an emerging economy like India.Design/methodology/approachThe long and short-run cointegration between the time-series variables is estimated using the autoregressive distributed lag (ARDL) bounds test and error correction model (ECM) using quarterly data across the 2005–2017 period. ARDL is a suitable method for short time-series data.FindingsThe empirical results indicate that domestic NREF flows are positively and significantly impacted by real GDP and performance of listed real estate stocks (i.e. BSE realty index). Whereas, foreign NREF flows are positively and significantly impacted by the exchange rate, performance of listed real estate stocks and domestic NREF flows.Practical implicationsThe empirical results have significant implications for academicians, policy makers and real estate market practitioners. In the context of these results, some interesting insights are gained that would help in the implementation of the policies aimed toward increasing the fund flows in the real estate sector, which in turn would have a significant trickle-down effect on the Indian economy.Originality/valueThe existing literature looks at macroeconomic and other drivers of foreign investment in international real estate investments. However, there are very few studies on the determinants of domestic real estate investment flows and on determinants of NREFs' investment flows; particularly in emerging markets. The present study, in contrast, evaluates simultaneously the macroeconomic determinants of the domestic and foreign NREFs' investment flows in India. The ARDL and ECM method used has been applied for the first time to the study of NREFs.

scholarly journals COMPETITIVENESS ASSESSMENT FOR REAL ESTATE ENTERPRISES IN CHINA: A MODEL‐PROCEDURE

2009 ◽  
Vol 13 (3) ◽  
pp. 229-245 ◽  
Author(s):  
Xiaoling Zhang ◽  
Liyin Shen ◽  
Yuzhe Wu ◽  
Linda C. N. Fan
Keyword(s):  
Real Estate ◽  
World Trade Organization ◽  
World Trade ◽  
Real Estate Market ◽  
Assessment Methods ◽  
Real Estate Industry ◽  
Market Conditions ◽  
Real Estate Enterprises ◽  
The World

China's accession to the World Trade Organization (WTO) in 2001 has allowed both domestic and overseas real estate enterprises to compete under the same market conditions. This has led to a more rigorous competition in the Chinese real estate market. Understanding this challenge is essential as it enables real estate enterprises to assess their competitiveness properly, and therefore adapt to their competition environment by applying adequate methods to improve their competitiveness. This paper presents an understanding on the applicability of various established competitiveness assessment methods. The characteristics of real estate firms are also presented with the appreciation of the Chinese environment. The study investigates the applicability of various established competitiveness assessment methods for real estate organizations in China considering the characteristics of real estate industry and the comments of the interviewees. The understanding on this applicability leads to the development of a model-procedure for assessing the competitiveness of real estate firms. The model‐procedure employs various assessment methods in different stages in the process of examining the competitiveness of real estate businesses. The effectiveness of the application of the model‐procedure is evidenced through discussions with senior professionals. Then a case study is presented to illustrate how the model‐procedure can be applied. The findings of the study provide valuable references to study competitiveness assessment in other country's real estate industries. Santruka Nuo 2001 metu, kai Kinija tapo Pasaulines prekybos organizacijos (PPO) nare, ir vietines, ir užsienio nekilnojamojo turto imones gali konkuruoti tomis pačiomis rinkos salygomis. Del to konkurencija Kinijos nekilnojamojo turto rinkoje tapo tik aršesne. Ši iššūki būtina suprasti, nes jis nekilnojamojo turto imonems leidžia tinkamai ivertinti savo konkurencinguma, prisitai kyti prie konkurencines aplinkos bei pasirinkti adekva čius metodus konkurencingumui didinti. Straipsnyje apžvelgiama, kaip suprantamas ivairiu pripažin tu konkurencingumo vertinimo metodu tinkamumas. Pateikiamos Kinijos nekilnojamojo turto imoniu charakteristikos. Remiantis atlikto tyrimo rezultatais, nekilnojamojo turto sektoriaus charakteristikomis ir apklausoje dalyvavusiu asmenu komentarais, nagrinejamas ivairiu pripažin tu konkurencingumo vertinimo metodu tinkamumas Kinijoje veikiančioms nekilnojamojo turto organizacijoms. Suvokiant ši tinkamuma, galima sukurti procedūros modeli, kuri naudojant būtu vertinamas nekilnojamojo turto imoniu konkurencingumas. Ivairiais nekilnojamojo turto imoniu konkurencingumo tyrinejimo proceso etapais taikant procedūros modeli naudojami skirtingi vertinimo metodai. Mineto modelio taikymo efektyvumas aptariamas su šios srities profesionalais. Tada pateikiamas konkretaus atvejo, parodančio procedūros modelio taikyma, tyrimas, o jo išvados suteikia vertingos informacijos, kuria galima naudoti tyrinejant konkurencingumo vertinima kitos šalies nekilnojamojo turto sektoriuose.

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