Price diffusion across international private commercial real estate markets
研究了2007至2020年间22个全球城市商业房地产价格的空间扩散，发现伦敦是主导市场，价格冲击在短期至中期显著扩散，且邻近市场（按所有权重叠定义）的冲击也很重要，长期则受宏观经济因素主导。
We explore spatio-temporal aspects of global commercial real estate price movements and consider two channels where prices may spill over between global cities: (i) through a dominant market and (ii) through “neighbouring” markets. Neighbouring, here, is defined as the degree of overlap in ownership. We document significant ripple effects from both channels in commercial real estate prices across 22 markets from 2007 to 2020. In particular, London is found to be the dominant market and price shocks significantly diffuse across other global cities in the short- to medium-run. Additionally, shocks from neighbouring markets are important in the short- to medium-run. In the long-run, macroeconomic factors play a much more critical role. The spillover effect through both channels is more predominant during the financial crisis. In fact, the dominant market channel is mostly driven by the financial crisis. By contrast, the neighbouring market channel is significant throughout the economic cycle.