 Price diffusion across international private commercial real estate marketsBing Zhu, Dorinth van Dijk and Colin Lizieri Journal of International Money and Finance, 2024, vol. 140, issue C Abstract: We explore spatio-temporal aspects of global commercial real estate price movements and consider two channels where prices may spill over between global cities: (i) through a dominant market and (ii) through “neighbouring” markets. Neighbouring, here, is defined as the degree of overlap in ownership. We document significant ripple effects from both channels in commercial real estate prices across 22 markets from 2007 to 2020. In particular, London is found to be the dominant market and price shocks significantly diffuse across other global cities in the short- to medium-run. Additionally, shocks from neighbouring markets are important in the short- to medium-run. In the long-run, macroeconomic factors play a much more critical role. The spillover effect through both channels is more predominant during the financial crisis. In fact, the dominant market channel is mostly driven by the financial crisis. By contrast, the neighbouring market channel is significant throughout the economic cycle. Keywords: International contagion; Spillovers; Commercial real estate; Market and macroeconomic interaction; Spatial dependence; Real estate pricing (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001778 DOI: 10.1016/j.jimonfin.2023.102976 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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