Estimating Commercial Property Price Misalignment in the CEE Countries

Hana Hejlova, Michal Hlaváček and Blanka Vackova

Working Papers from Czech National Bank, Research and Statistics Department

Abstract: In this article, we estimate the misalignment of commercial property prices. To this end, we propose a semi-structural model which imitates the functioning of various segments of the commercial real estate market. To estimate this model, we use a unique set of data on the markets for two property types (office and industrial) in five CEE countries and Germany, provided by JLL. First, we estimate the model for each property type on a panel of countries to capture the international nature of the markets. Secondly, for the example of the Czech Republic we estimate the model on a panel of property types to capture the possible orientation of individual investors towards a certain country. Finally, we compare the outcomes. The results suggest that investors tend to orientate towards certain property types rather than particular countries. It also shows that our approach avoids the end-point bias which can be present when assessing commercial property prices with an HP filter.

Keywords: Commercial property; misalignment of prices; types of property (search for similar items in EconPapers)
JEL-codes: C31 E58 R32 (search for similar items in EconPapers)
Date: 2020-12
New Economics Papers: this item is included in nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cnb.cz/export/sites/cnb/en/economic-re ... wp/cnbwp_2020_11.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2020/11

Access Statistics for this paper

More papers in Working Papers from Czech National Bank, Research and Statistics Department Contact information at EDIRC.
Bibliographic data for series maintained by Tomas Karhanek ().