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Paper eres2014_78:
Panel Modelling of European Office Market Rent Dynamics and Asymmetries

id eres2014_78
authors Farrelly, Kieran; Michal Gluszak, George Matysiak
year 2014
title Panel Modelling of European Office Market Rent Dynamics and Asymmetries
source 21st Annual European Real Estate Society Conference in Bucharest, Romania
summary The study makes use of a panel dataset for twelve European cities provided by DTZ and augmented by financial and business services employment data provided by Oxford Economics. In recent years there has been significant development in panel testing and modeling for non-stationary panel data and ‘macro panel datasets’ i.e. where the number of time series units is greater than the number of cross section units. Notably, most prior panel work on rent dynamics does not address unit roots and cointegration testing does not address cross section dependence and employs unsuitable methods for the modelling of macro panel datasets. As a consequence of cross section dependence, panel estimators may be biased and inconsistent, thus the conclusions drawn from most prior panel work on the rental adjustment process may prove to be inaccurate. Employing the latest panel econometric tests and estimation procedures we estimate variants of a cointegrated rental determination model, where asymmetric responses are detected. This has implications and asymmetries should be considered when formulating investment strategies and underwriting future rental growth, together with lease/lease renewal negotiations. Reflecting this aspect of rent and market dynamics should also be considered when undertaking risk modelling involving the projection of rental growth outcomes. If ignored, key asymmetries impacting the risk-return profile of the investment/portfolio under consideration would be missed.
series ERES:conference
email kfarrelly@townsendgroup.com
more http://library.eres.org/cgi-bin/rsa98.pl?conf=ERES2014&type=session&theme=G &slot=2670
discussion No discussions. Post discussion ...
ratings
session G : Market Research, Analysis & Forecasting
last changed 2014/10/21 21:51
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