Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles

Arsenault, Marcel; Peng , Liang

doi:10.2139/ssrn.1458188

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Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles

32 Pages Posted: 20 Aug 2009

See all articles by Marcel Arsenault

Liang Peng

Smeal College of Business, The Pennsylvania State University

There are 2 versions of this paper

Date Written: August 20, 2009

Abstract

This paper hypothesizes and analyzes a positive feedback loop between commercial real estate capital appreciation and commercial mortgage capital supply. Using quarterly U.S. data from 1978 to 2008, this paper finds that past real estate investment performance positively affects mortgage fund flows, which this paper shows measure changes in mortgage capital supply, and likewise, mortgage fund flows affect property valuation in the same quarter. The documented positive feedback loop is likely an important driving force behind real estate cycles.

Keywords: real estate cycles, commercial real estate, mortgage fund flows, positive feedback loop

JEL Classification: G12, E32, E44

Suggested Citation: Suggested Citation

Arsenault, Marcel and Peng, Liang, Mortgage Fund Flows, Capital Appreciation, and Real Estate Cycles (August 20, 2009). Available at SSRN: https://ssrn.com/abstract=1458188 or http://dx.doi.org/10.2139/ssrn.1458188