Consistent commercial real estate market indicators: Methodology and an application to the German office market

Thomas A. Knetsch, Martin Micheli, Phil Kafke and Mario Schimmelpfennig

No 09/2025, Discussion Papers from Deutsche Bundesbank

Abstract: We develop a statistical-methodological framework for a set of core commercial real estate market indicators, which consists of a market price index, a gross rent index, and a net rental yield index as well a vacancy rate. We argue that the indicators should be (macro-)consistent, meaning that the asset valuation relation between the market price, rental income, yield and vacant space of an individual property carries over to the macro indicators. In case of a bottom-up compilation of all indicators, macro-consistency is met if (1) target universes are common, (2) the granular data source is complete and (3) price and rental yield indices are weighted with capital value shares while the rent index and the aggregate vacancy rate are weighted by rental income shares. We exemplify the established statistical-methodological framework by compiling a consistent set of annual indicators of the German office market using appraisal data from a real estate consulting company.

Keywords: price index; rent index; rental yield index; vacancy rate (search for similar items in EconPapers)
JEL-codes: C43 R33 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:319619

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