Using quarterly data for all 379 metropolitan statistic areas (MSAs) in the U.S. from 1980:1 to 2008:2, this paper empirically studies the effect of house prices on local Gross Metropolitan Product (GMP). We compare the effects of predictable and unpredictable house price changes, which we use...

Commercial real estate represents a significant fraction of total U.S. wealth, but its risk and returns at the property level are largely unknown. This paper utilizes detailed cash flow information of 2,845 commercial properties acquired for about $89 billion by institutional investors of NCREIF...

The renovation and expansion of existing commercial properties constitute important investments into the economic infrastructure. Such investments can facilitate economic growth if made at appropriate times and scales, but can also lead to a waste of economic resources and exacerbate market...

This paper develops a novel empirical method that uses property level cash flow information to estimate the risk and return characteristics of private commercial real estate. Monte Carlo simulations suggest that this method is more accurate than the conventional index-based approach. Applying...

This paper argues that econometric analysis of housing price indexes before 2006 generated forecasts of future long-term price growth and low estimated probabilities of extreme price decreases. These forecasts of future increases in home-loan collateral values may have affected both the demand...

This paper proposes a generalized repeat sales regression (GRSR) that uses repeat sales from the entire market, in which properties may have heterogeneous value appreciation processes, to estimate price indices for not only the entire market, but also submarkets or customized portfolios of...

This paper empirically examines the segmentation of house price risk across 99 zip-code delineated neighborhoods in metropolitan Denver. The house price risk in each neighborhood is measured with the temporal variation of quarterly appreciation rates of the neighborhood house price index over...