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Purpose - In the article, we attempt to check whether polish monetary aggregate and PLN exchange rate determine yield rate in the main office market in CEE. We look for GFC and beginning of Covid-19 impact on the Warsaw office yield rate. Moreover, we investigate if structural breaks can be found in the time series of the yield rate on the Warsaw office market.
Design/methodology/approach - The error-correction model approach is used to determine factors affecting yield rate on the Warsaw office market. Based on the analysis of the literature we set three groups of possible factors i.e. endogenous (market), macroeconomic and regional (international). Moreover, we formulated dummy variables to check impact of the global financial crisis and beginning of the covid-19 pandemic on the yield rate. Also, structural breaks in the yield rate time series representing changes in market conditions were used to define subsequent dummy variables.
Findings - The results of the study indicate that yield rate on the office market in Warsaw, in the long and the short term, was determined by monetary liquidity (M2 aggregate) and by exchange rate (EUR/PLN). No clear dependence of yield rate on dummy variables of GFC and Covid-19 was detected. Furthermore, the obtained results indicate that certain changes of market conditions, which influenced the yield rate, can actually be identified after the first quarters of 2010 and 2015. The dependence of the office yield rate in Warsaw on the Vacancy rate was found only in long term. The risk premium variable in short-term also was statistically insignificant.
Research limitations - Limitations of the study are related to the time span of available time series. Time range of the data did not allow for the comprehensive verification of the impact of GFC and Covid-19 on the local office market yield.
Research implications - The obtained results may be substantial information for commercial real estate practitioners, as they indicate drivers of the local office market yield. (original abstract)
Design/methodology/approach - The error-correction model approach is used to determine factors affecting yield rate on the Warsaw office market. Based on the analysis of the literature we set three groups of possible factors i.e. endogenous (market), macroeconomic and regional (international). Moreover, we formulated dummy variables to check impact of the global financial crisis and beginning of the covid-19 pandemic on the yield rate. Also, structural breaks in the yield rate time series representing changes in market conditions were used to define subsequent dummy variables.
Findings - The results of the study indicate that yield rate on the office market in Warsaw, in the long and the short term, was determined by monetary liquidity (M2 aggregate) and by exchange rate (EUR/PLN). No clear dependence of yield rate on dummy variables of GFC and Covid-19 was detected. Furthermore, the obtained results indicate that certain changes of market conditions, which influenced the yield rate, can actually be identified after the first quarters of 2010 and 2015. The dependence of the office yield rate in Warsaw on the Vacancy rate was found only in long term. The risk premium variable in short-term also was statistically insignificant.
Research limitations - Limitations of the study are related to the time span of available time series. Time range of the data did not allow for the comprehensive verification of the impact of GFC and Covid-19 on the local office market yield.
Research implications - The obtained results may be substantial information for commercial real estate practitioners, as they indicate drivers of the local office market yield. (original abstract)
Słowa kluczowe
Twórcy
autor
- University of Rzeszów
Bibliografia
- Bruneau, C., & Cherfouh, S. (2018). Modelling the asymmetric behaviour of property yields: evidence from the UK office market. Journal of Property Research, 35(1), 1-27. https://doi.org/10.1080/09599916.2017.1411966.
- Chervachidze, S., & Wheaton, W. (2013). What Determined the Great Cap Rate Compression of 2000-2007, and the Dramatic Reversal During the 2008- 2009 Financial Crisis? The Journal of Real Estate Finance and Economics, 46(2), 208-231. https://doi.org/10.1007/s11146-011-9334-z.
- Collirs (2020). The CEE Office Scene. 2020-2022.
- Colliers (2021). Rynek biurowy. Raport roczny rozszerzony. Marzec 2021.
- D'Argensio, J-J., & Laurin, F. (2008). The Real Estate Risk Premium: A Developed/Emerging Country Panel Data Analysis. The Journal of Portfolio Management, 35(5), 118-132. https://doi.org/10.3905/JPM.2009.35.5.118.
- Devaney, S., Livingstone, N., McAllister, P., & Nanda, A. (2019). Capitalization Rates and Transaction Activity in International Office Markets: A Global Perspective. Global Finance Journal, 42(C), 1-11. https://doi.org/10.1016/j.gfj.2019.04.003.
- Hendershott, P. H., MacGregor, B.D., & Tse, R. (2002). Estimation of the Rental Adjustment Process. Real Estate Economics, 30(2), 165-183. https://doi.org/10.1111/1540-6229.00036.
- Hendershott, P. H., MacGregor, B.D., & White, M. (2002). Explaining Real Commercial Rents Using an Error Correction Model with Panel Data. Journal of Real Estate Finance and Economics, 24(1-2), 59-87. https://doi.org/10.1023/A:1013930304732.
- Hendershott, P. H., & MacGregor, B. D. (2005). Investor Rationality: Evidence from U.K. Property Capitalization Rates. Real Estate Economics, 33(2), 299-322. https://doi.org/10.1111/j.1540-6229.2005.00120.x.
- Henneberry, J., & Mouzakis, F. (2014). Familiarity and the Determination of Yields for Regional Office Property Investments in the UK. Regional Studies, 48(3), 530-546. https://doi.org/10.1080/00343404.2013.765556.
- Jones, C., Dunse N., & Cutsforth, K. (2015). The Changing Relationships between Government Bond Yields and Capitalization Rates: Evidence from the UK, USA and Australia. Journal of European Real Estate Research, 8(2),153-171. https://doi.org/10.1108/JERER-05-2015-0023.
- Kohlert, D. (2010). The Determinants of Regional Real Estate Returns in the United Kingdom: a Vector Error Correction Approach. Journal of Property Research, 27(1), 87-117.
- Kośko, M., Osińska, M., & Stempińska, J. (2007). Ekonometria współczesna. Toruń: Wydawnictwo Dom Organizatora.
- Kufel, T. (2013). Ekonometria. Rozwiązania problemów z wykorzystaniem programu GRETL. Warszawa: PWN.
- Morawski, J., & De Francesco, A. (2019). Impact of the Term Structure of Interest Rates on Property Yields. [in:] 26th Annual European Real Estate Society Conference. ERES: Conference. Cergy-Pontoise, France.
- NBP (2020). Raport o sytuacji na rynku nieruchomości mieszkaniowych i komercyjnych w Polsce w 2019 r. Departament Stabilności Finansowej NBP. Warszawa.
- McAllister, P., & Nanda, A. (2016). Do Foreign Buyers Compress Office Real Estate Cap Rates? Journal of Real Estate Research, 38(4), 569-594. https://doi.org/10.1080/10835547.2016.12091457.
- Oikarinen, E., & Falkenbach, H. (2017). Foreign Investors' Influence on the Real Estate Market Capitalization Rate - Evidence from a Small Open Economy. Applied Economics, 49(32), 3141-3155. http://dx.doi.org/10.1080/00036846.2016.1254343.
- Peyton, M. S. (2009). Capital Markets Impact on Commercial Real Estate Cap Rates: A Practitioner's View. The Journal of Portfolio Management, 35(5), 38-49. https://doi.org/10.3905/JPM.2009.35.5.038.
- Sivitanides, P., Torto, R., & Wheaton, W. (2003). Real Estate Market Fundamentals and Asset Pricing. The Journal of Portfolio Management, 29(5). 45-53. https://doi.org/10.3905/jpm.2003.319905.
- Sivitanidou, R., & Sivitanides, P. (1999). Office Capitalization Rates: Real Estate and Capital Market Influences. Journal of Real Estate Finance and Economics, 18(3), 297-322. https://doi.org/10.1023/A:1007780917146.
Typ dokumentu
Bibliografia
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