The Journal of Real Estate Finance and Economics
Volume 26, Issue 1, Article 2 (Abstract)
Title:	The Global Determinants of Direct Office Real Estate Returns
Author:	Ivo de Wit and Ronald van Dijk
Abstract:	We investigate the determinants of direct office real estate returns by analyzing rents, capital appraisals and total returns. A recently compiled global database of major cities in Asia, Europe and United States provides a unique opportunity to give a macro view on the effects of economic growth and supply and demand factors on nominal real estate returns. The global database provides quarterly observations from 1986 through 1999. To address the smoothness problem of appraisal-based price data and regulated rents, we employ the Generalized Method of Moments to estimate a dynamic panel-data model. The model allows us to combine the cross-sectional and time-series dimension in our quarterly data. We find that Gross Domestic Product, inflation, unemployment, vacancy rate and the available stock all have an affect on real estate returns.
Keywords:	global model, return factors, static and dynamic panel data, office sector