Quantitative easing and global commercial real estate price spillovers

Bing Zhu, Dorinth van Dijk, Dennis Bonam and Gavin Goy

ERES from European Real Estate Society (ERES)

Abstract: The effectiveness of unconventional monetary policies (UMPs) and their international spillovers to global asset prices and capital flows have dominated policy discussions. This paper is the first to document the effect of UMP on global commercial real estate (CRE) markets. Even though the size of CRE as asset class is substantial, the subject has received very limited interest in research studying the effect of monetary policy. We empirically find that a domestic UMP significantly impacts US CRE pricing through credit supply. We additionally document persistent price effects on foreign non-US CRE markets. This effect largely stems from global CRE market spillovers. In fact, global CRE market spillovers are found to amplify the original domestic UMP effect on US CRE prices. We aim to enrich our empirical findings with a two-country DSGE-model that includes CRE pricing.

Keywords: commercial real estate; International Spillovers; Quantitative Easing; Unconventional Monetary Policy (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2025-01-01
New Economics Papers: this item is included in nep-cba, nep-mon and nep-opm
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