A price-at-risk approach for the German commercial real estate market

Tobias Herbst, Jannick Plaasch and Florian Stammwitz

No 08/2024, Technical Papers from Deutsche Bundesbank

Abstract: We apply the growth-at-risk model of Adrian et al. (2019) to the German commercial real estate (CRE) market. We derive a distribution for CRE price growth four quarters ahead conditional on macro-financial variables. This approach allows us to make probability statements about the downside risk to future CRE price growth, which serve as an input to financial stability analyses. We find that the conditional distribution has shifted strongly to the left since the COVID-19 pandemic, in line with deteriorating macroeconomic conditions, an increase in long-term interest rates and a decline in the net initial yield, resulting in lower expected CRE price growth rates across the entire distribution.

Keywords: Commercial Real Estate; Quantile Regression; Growth-at-Risk; Germany (search for similar items in EconPapers)
JEL-codes: C32 E37 G01 R33 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-rmg and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubtps:308094

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