This paper estimates demand and supply of mortgage credit by using a hierarchical trend model. The empirical analysis is based on loan-level data covering the years 2005-2014 in the Netherlands. We find that high-income households take out higher loan amounts and have higher collateral values....

In this paper we analyze the underlying economic mechanisms that might be driving the observed patterns in commercial real estate prices, as an interplay between buyer and seller characteristics (in terms of their size, capital constraints and market knowledge), and the timing and geographical...

The general purpose of a dynamic factor model (DFM) is to summarize a large number of time series into a few common factors. Here we explore a number of DFM specifications applied to 80 granular, non-overlapping indexes of commercial property prices in the US, quarterly from 2001 to 2017. We...

In this paper, we define a new construct for urban economic and investment analysis, which revisits the conventional wisdom that investment in real estate development is riskier than investment in stabilized property assets. This new construct, referred as a “Development Asset Value Index"...

This paper explores the question of whether real estate development (RED) projects systematically present positive net present value (NPV) and therefore, provide super-normal profit. Such projects are the products of a business operation that governs the exercise of the real call option on...

In this paper we propose a new methodology for the estimation of fundamental property-level investment real estate time series performance and operating data using real estate investment trust (REIT) data. The method-ology is particularly useful to develop publicly accessible operating...

We present a mixed frequency repeat sales model for commercial real estate, taking into account changes in net operating income between the date of buying and selling the property. Moreover, we relate monthly private market index asset returns to lags, up to one year, of daily REIT returns. The...

We investigate how local information externalities affect investments in tangible durable assets via real options. Using geocoded transaction-level data on US commercial properties from 2000 to 2018, we find that investors have a higher propensity to invest in a property for immediate...

Combining granular data on temperatures across the continental US with micro-level com-mercial real estate (CRE) data from 1980 to 2020, we study the impact of exposure to extreme temperature shocks on investment performance of CRE at the individual asset level. We find that exposure to extreme...

Combining granular data on temperatures across the continental US with micro-level commercial real estate (CRE) data from 1991 to 2020, we study the impact of exposure to extreme temperature shocks on investment performance of CRE at the individual asset level. We find that exposure to extreme...