Asymmetric adjustment in the City of London office market

Patric H Hendershott, Colin M Lizieri, Bryan D MacGregor

    Research output: Contribution to journalArticle

    27 Citations (Scopus)

    Abstract

    Earlier estimates of the behavior of the City of London office market are extended by considering a longer time series of data, covering two full cycles, and by explicitly modeling asymmetric space market responses to employment and supply shocks. A long run structural model linking real rental levels, office-based employment and the supply of office space is estimated and then rental adjustment processes are modeled using an error correction model framework. Rental adjustment is seen to be asymmetric, depending both on the direction of the supply and demand shocks and on the state of the space market at the time of the shock. Vacancy adjustment does not display statistically significant asymmetries. There is also a supply adjustment equation. Two three-equation systems, one with symmetric rental adjustment and the other with asymmetric adjustment, are subjected to positive and negative shocks to employment. These illustrate differences in the properties of the two systems.
    Original languageEnglish
    Pages (from-to)80-101
    Number of pages22
    JournalThe Journal of Real Estate Finance and Economics
    Volume41
    Issue number1
    Early online date27 Aug 2009
    DOIs
    Publication statusPublished - Jul 2010

    Fingerprint

    supply
    market
    error correction
    asymmetry
    structural model
    time series
    modeling
    city
    Asymmetric adjustment
    Office markets
    demand
    office
    Supply shocks
    supply and demand
    time
    Demand shocks
    Structural model
    Asymmetry
    Market response
    Error correction model

    Keywords

    • office market models
    • rental adjustment
    • asymmetric responses
    • vacany rate

    Cite this

    Asymmetric adjustment in the City of London office market. / Hendershott, Patric H; Lizieri, Colin M; MacGregor, Bryan D.

    In: The Journal of Real Estate Finance and Economics, Vol. 41, No. 1, 07.2010, p. 80-101.

    Research output: Contribution to journalArticle

    Hendershott, Patric H ; Lizieri, Colin M ; MacGregor, Bryan D. / Asymmetric adjustment in the City of London office market. In: The Journal of Real Estate Finance and Economics. 2010 ; Vol. 41, No. 1. pp. 80-101.
    @article{356913b5f1e44847b3b5f201b4877ad0,
    title = "Asymmetric adjustment in the City of London office market",
    abstract = "Earlier estimates of the behavior of the City of London office market are extended by considering a longer time series of data, covering two full cycles, and by explicitly modeling asymmetric space market responses to employment and supply shocks. A long run structural model linking real rental levels, office-based employment and the supply of office space is estimated and then rental adjustment processes are modeled using an error correction model framework. Rental adjustment is seen to be asymmetric, depending both on the direction of the supply and demand shocks and on the state of the space market at the time of the shock. Vacancy adjustment does not display statistically significant asymmetries. There is also a supply adjustment equation. Two three-equation systems, one with symmetric rental adjustment and the other with asymmetric adjustment, are subjected to positive and negative shocks to employment. These illustrate differences in the properties of the two systems.",
    keywords = "office market models, rental adjustment, asymmetric responses, vacany rate",
    author = "Hendershott, {Patric H} and Lizieri, {Colin M} and MacGregor, {Bryan D}",
    year = "2010",
    month = "7",
    doi = "10.1007/s11146-009-9199-6",
    language = "English",
    volume = "41",
    pages = "80--101",
    journal = "The Journal of Real Estate Finance and Economics",
    issn = "0895-5638",
    publisher = "Springer Netherlands",
    number = "1",

    }

    TY - JOUR

    T1 - Asymmetric adjustment in the City of London office market

    AU - Hendershott, Patric H

    AU - Lizieri, Colin M

    AU - MacGregor, Bryan D

    PY - 2010/7

    Y1 - 2010/7

    N2 - Earlier estimates of the behavior of the City of London office market are extended by considering a longer time series of data, covering two full cycles, and by explicitly modeling asymmetric space market responses to employment and supply shocks. A long run structural model linking real rental levels, office-based employment and the supply of office space is estimated and then rental adjustment processes are modeled using an error correction model framework. Rental adjustment is seen to be asymmetric, depending both on the direction of the supply and demand shocks and on the state of the space market at the time of the shock. Vacancy adjustment does not display statistically significant asymmetries. There is also a supply adjustment equation. Two three-equation systems, one with symmetric rental adjustment and the other with asymmetric adjustment, are subjected to positive and negative shocks to employment. These illustrate differences in the properties of the two systems.

    AB - Earlier estimates of the behavior of the City of London office market are extended by considering a longer time series of data, covering two full cycles, and by explicitly modeling asymmetric space market responses to employment and supply shocks. A long run structural model linking real rental levels, office-based employment and the supply of office space is estimated and then rental adjustment processes are modeled using an error correction model framework. Rental adjustment is seen to be asymmetric, depending both on the direction of the supply and demand shocks and on the state of the space market at the time of the shock. Vacancy adjustment does not display statistically significant asymmetries. There is also a supply adjustment equation. Two three-equation systems, one with symmetric rental adjustment and the other with asymmetric adjustment, are subjected to positive and negative shocks to employment. These illustrate differences in the properties of the two systems.

    KW - office market models

    KW - rental adjustment

    KW - asymmetric responses

    KW - vacany rate

    U2 - 10.1007/s11146-009-9199-6

    DO - 10.1007/s11146-009-9199-6

    M3 - Article

    VL - 41

    SP - 80

    EP - 101

    JO - The Journal of Real Estate Finance and Economics

    JF - The Journal of Real Estate Finance and Economics

    SN - 0895-5638

    IS - 1

    ER -