Advertisement

Real Estate Income and Value Cycles: A Model of Market Dynamics

  • Yoon Dokko
  • Robert H. Edelstein
  • Allan J. Lacayo
  • Daniel C. Lee
Part of the The New York University Salomon Center Series on Financial Markets and Institutions book series (SALO, volume 6)

Abstract

There is growing recognition among academics and practitioners that volatile macro, regional and local economic factors exert important influences on the cyclic behavior of real estate markets. Even though the economy itself may have changed, real estate cycles remain. The most recent example of the commercial real estate cycle occurred in the late 1980s and early 1990’s.The unusual and severely distressed state of the U.S. commercial real estate markets during this period has been followed with an upturn of these markets in the mid 1990’s.

Keywords

Real Estate Estate Cycle Real Estate Market Vacancy Rate Commercial Real Estate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Ambrose, Brent and Hugh Nourse, “Factors Influencing Capitalization Rates,”The Journal of Real Estate Research, Vol. 8, No. 2, (Spring, 1993), pp. 221–238.Google Scholar
  2. 2.
    Case, Karl and Robert Shiller, “Forecasting Prices and Excess Returns in the Housing Market,”Journal of the American Real Estate and Urban Economics Association, Vol. 18, No. 3, (Fall, 1990), pp. 253–273CrossRefGoogle Scholar
  3. 3.
    Chinloy, Peter, “Real Estate Cycles and Empirical Evidence,”Journal of Housing Research, vol. 7, Vol. 2, (1996), pp. 173–190.Google Scholar
  4. 4.
    Clapp, John M., Dynamics of Office Markets: Empirical Findings and Research Issues, AREUEA Monograph Series, Vol. 1, 1993.Google Scholar
  5. 5.
    Clayton Pritchett, “The Effect of Regional Growth Characteristics on Regional Housing Prices,”Journal of the American Real Estate and Urban Economics Association, Vol. 5, (Summer, 1977) pp. 189–208.CrossRefGoogle Scholar
  6. 6.
    Corgel, John and Gerald Gay, “Local Economic Base, Geographic Diversification, and Risk management of Mortgage Portfolios,”Journal of the American Real Estate and Urban Economic Association, Vol. 15, (Fall, 1987) pp. 256–267.CrossRefGoogle Scholar
  7. 7.
    Crone, Theodore and Richard Voith, “National Vacancy Rates and the Persistence of Shocks in U.S. Office Markets,”Journal of the American Real Estate and urban Economic Association, (Winter, 1988), Vol. 16, No. 4, pp. 437–458.CrossRefGoogle Scholar
  8. 8.
    Dokko, Yoon, Robert Edelstein and Scott Urdang, “Does Credit Rationing Affect Residential Construction? Déjà vu All over Again,”Journal of Real Estate Finance and Economics, Vol. 3 (1990) pp. 357–371.CrossRefGoogle Scholar
  9. 9.
    Dokko, Yoon, Robert Edelstein, Marshall Pomer and Scott Urdang, “Determinants of the Rate of Return for Nonresidential Real Estate: Inflation Expectations and Market Adjustment Lags,”Journal of the American Real Estate and Urban Economics Association, Vol. 19, (Spring, 1991) pp. 52–69.CrossRefGoogle Scholar
  10. 10.
    Edelstein, Robert H. and Irwin Friend, “Allocating Resources to Housing: the Private Sector,”Proceedings of the First Annual Conference on Housing, Federal Home Loan Bank of San Francisco, (1976).Google Scholar
  11. 11.
    Froland, Charles, “What Determines Cap Rates on Real Estate?”The Journal of Portfolio Management, (Summer, 1987), pp. 55–60.Google Scholar
  12. 12.
    Gatzlaff, Dean and Dogan Tirtiroglu, “Real Estate Market Efficiency: Issues and Evidence,”Working Paper, (June, 1993).Google Scholar
  13. 13.
    Grebler, Leo and Leland Burns, “Construction Cycles in the United States Since World War II,”Journal of the American Real Estate and Urban Economics Association, Vol. 10 (Summer, 1982) pp. 123–151.CrossRefGoogle Scholar
  14. 14.
    Green, Richard K. “Follow the Leader: How Changes in Residential and Non-residential Investment Predict Changes in GDP,”Real Estate Economics, Vol. 25, No. 2, (1997) pp. 253–270.CrossRefGoogle Scholar
  15. 15.
    Grenadier, Steven, “The Persistence of Real Estate Cycles,”Journal of Real Estate Finance and Economics, Vol. 10, No. 2, (March 1995) pp. 95–119.CrossRefGoogle Scholar
  16. 16.
    Harris, Jack and Waldo Born, “Timing Real Estate Acquisitions,”Real Estate Review, (Summer, 1986) pp. 79–83.Google Scholar
  17. 17.
    Hartzell, David, John Hekman and Mike Miles, “Real Estate Returns and Inflation,”Journal of the American Real Estate and Urban Economics Association, (Spring, 1987) pp. 617–637.Google Scholar
  18. 18.
    Hekman, John, “Rental Price Adjustment and Investment in the Office Market,”Journal of the American Real Estate and Urban Economics Association, Vol. 13, No. 1, (Spring, 1985) pp. 32–47.CrossRefGoogle Scholar
  19. 19.
    Hendershott, Patrick and Edward Kane, “US Office Market Value During the Past Decade: How Distorted Have Appraisals Been?”Real Estate Economics, Vol. 23, No. 2, (Summer 1995) pp. 101–116.CrossRefGoogle Scholar
  20. 20.
    Jaffee, Dwight and Kenneth T. Rosen, “Mortgage Credit Availability and Residential Construction,”Brookings Papers on Economic Activity, Vol. 2 (1979), pp. 333–386.CrossRefGoogle Scholar
  21. 21.
    Kling, John and Thomas McCue, “Office Building Investment and the Macroeconomy: Empirical Evidence, 1973-1985,”Journal of the American Real Estate and Urban Economics Association, Vol. 15, (Fall, 1987) pp. 234–255.CrossRefGoogle Scholar
  22. 22.
    Koopmans, Tjalling C. “Measurement without Theory,”Review of Economics and Statistics, Vol. 29, August, 1947.Google Scholar
  23. 23.
    Leybourne, S.J. “Testing for Unit Roots: A Simple Alternative to Dickey-Fuller,”Applied Economics, Vol. 26, No. 7, July, 1994, pp. 721–729.CrossRefGoogle Scholar
  24. 24.
    Meese, Richard and Nancy Wallace, “Testing the Present Value Relation for Housing Prices: Should I Leave my House in San Francisco?”Journal of Urban Economics, Vol. 35, (May1994) pp. 245–266.CrossRefGoogle Scholar
  25. 25.
    Meese, Richard and Nancy Wallace, “Determinants of Residential Housing Prices: Effects of Economic Factors or Speculative Bubbles?”Working Paper No. 91-193, IBER, U.C. Berkeley.Google Scholar
  26. 26.
    Mueller, Glenn, “Understanding Real Estate’s Physical and Financial Market Cycles,”Real Estate Finance, Vol. 12, No. 3, Fall 1995, pp. 47–52.Google Scholar
  27. 27.
    National Commission on Financial Institution Reform, Recovery and Enforcement, “Origins and Causes of the S&L Debacle: A Blueprint for Reform,”A Report to the President and Congress of the United States, Washington, D.C., July 1993.Google Scholar
  28. 28.
    Peiser, Rick, “Capitalization Rates, Inflation and Investment Analysis in U.S. Real Estate,”Appraisal Review Journal, (Spring/Summer, 1983) pp. 42–43.Google Scholar
  29. 29.
    Pritchett, Clayton, “Forecasting the Impact of Real Estate Cycles on Investment,”Real Estate Review, Vol. 13, No. 4, (Winter, 1984) pp. 85–89.Google Scholar
  30. 30.
    Pyhrr, Stephen A., and Waldo L. Born, “Real Estate Valuation: The Effect of Market and Property Cycles,”The Journal of Real Estate Research, Vol. 9, No. 4, (Fall, 1994), pp. 455–486.Google Scholar
  31. 31.
    Pyhrr, Stephen A., Waldo L. Born and James R. Webb, “Development of a Dynamic Investment Strategy under Alternative Inflation Cycle Scenarios,”The Journal of Real Estate Research, Vol. 5, No. 2, (Summer, 1990), pp. 177–194.Google Scholar
  32. 32.
    Pyhrr, Stephen A., James R. Webb and Waldo L. Born, “Analyzing Real Estate Asset Performance During Periods of Market Disequilibrium Under Cyclical Economic Conditions: A Framework for Analysis,” pp. 75–106 in Kappline, and Schwartz, editors, Research in Real Estate, Vol. 3, 1990.Google Scholar
  33. 33.
    Rayburn, William, Michael Devaney and Richard Evans, “A Test of Weak-Form Efficiency in Residential Real Estate Returns,”Journal of the American Real Estate and Urban Economics Association. Vol. 15, (Fall, 1987) pp. 220–233.CrossRefGoogle Scholar
  34. 34.
    Rosen, Kenneth, “Toward A Model of the Office Building Sector,”Journal of the American Real Estate and Urban Economics Association. Vol. 12, (Fall, 1984) pp. 261–269.CrossRefGoogle Scholar
  35. 35.
    Sagalyn, Lynne B., “Real Estate Risk and the Business Cycle: Evidence from Security Markets,”The Journal of Real Estate Research, Vol. 5, No. 2, (Summer, 1990), pp. 203–220.Google Scholar
  36. 36.
    Wheaton, William, “Vacancy, Search, and Prices in a Housing Market Matcing Model,”Journal of Political Economy, Vol. 98, No. 6, 1990.Google Scholar
  37. 37.
    Wheaton, William, “The Cyclical Behavior of the National Office Market,”Journal of the American Real Estate and Urban Economics Association (Winter, 1987), pp. 281–299.Google Scholar
  38. 38.
    Wheaton, William and Ray Torto, “Vacancy Rates and The Future of Office Rents,”Journal of the American Real Estate and Urban Economics Association, Vol. 16, No. 4, (Winter, 1988) pp. 430–436.CrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Yoon Dokko
    • 1
  • Robert H. Edelstein
    • 2
  • Allan J. Lacayo
    • 3
  • Daniel C. Lee
    • 2
  1. 1.School of Business AdministrationAjou UniversityKorea
  2. 2.Haas School of BusinessUniversity of California at BerkeleyUSA
  3. 3.Fisher Center for Real Estate and Urban Economics, Haas School of BusinessUniversity of California at BerkeleyUSA

Personalised recommendations