Spatial Dependence in International Office Markets

Posted: 3 Sep 2015

See all articles by Andrea Chegut

Andrea Chegut

Maastricht University - Department of Finance

Piet M. A. Eichholtz

University of Maastricht - Limburg Institute of Financial Economics (LIFE)

Paulo Rodrigues

Maastricht University

Date Written: September 2, 2015

Abstract

This paper investigates spatial dependence in the prices of office buildings in Hong Kong, London, Los Angeles, New York City, Paris and Tokyo for 2007 to 2013. Compared to prior literature, we find low economic impact from spatial dependence in all six markets, and spatial and spatial-temporal dependence do not moderate the effects of hedonic characteristics statistically or economically. However, investor and seller types as well as neighborhood location have a significant impact on the economic and statistical significance of the spatial and spatial-temporal parameters. Spatial office price indices for London, Paris and Tokyo decline somewhat more than do hedonic indices during the crisis.

Keywords: Spatial dependence; Commercial real estate; Spatial autoregressive model; Spatial-temporal autoregressive model; Hedonic model

Suggested Citation

Chegut, Andrea and Eichholtz, Piet M. A. and Rodrigues, Paulo, Spatial Dependence in International Office Markets (September 2, 2015). Journal of Real Estate Finance and Economics, Vol. 51, No. 2, 2015. Available at SSRN: https://ssrn.com/abstract=2654963

Andrea Chegut

Maastricht University - Department of Finance ( email )

Maastricht, 6200 MD
Netherlands

Piet M. A. Eichholtz (Contact Author)

University of Maastricht - Limburg Institute of Financial Economics (LIFE) ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 3883648 (Phone)
+31 43 3258530 (Fax)

Paulo Rodrigues

Maastricht University ( email )

P.O. Box 616
Maastricht, 6200MD
Netherlands

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