The Volatility of Real Estate Markets: A Decomposition
通过空置率而非租金或收益来度量波动性，将房地产市场波动精确分解为供给和需求因素，并比较了50个都市市场不同物业类型的分解差异。
The research reported in this article examines how the volatility of real estate markets can be exactly decomposed into supply-side and demand-side factors that add up. What allows this is measuring volatility with vacancy, rather than examining rents, income, or investment return. In this decomposition, the role of supply depends keenly on its timing relative to demand side shocks. When the correlation between the two sides of the market is sufficiently positive, supply can help to reduce market volatility. Negative correlations imply that supply always contributes to market volatility. Empirically, the author compares the overall volatility of 50 metropolitan markets, across several property types (offices, apartments, industrial, and hotels) and finds very different decompositions across the types. With these decompositions, the author tries to characterize those kinds of markets (geographically within each type of property) whose volatility is driven more by demand rather than by supply factors. <b>TOPICS:</b>Real estate, volatility measures, portfolio management/multi-asset allocation