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US monetary policy spillovers through global commercial real estate

Working paper 872
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Published: 06 October 2026

By: Dennis Bonam Dorinth van Dijk Gavin Goy Bing Zhu

We provide new evidence on the international spillover effects of US monetary policy through global commercial real estate (CRE) markets. Using a global VAR-X model that exploits both city- and country-level data, we account for spatial dependencies arising from cross-border investor ownership of CRE. A US quantitative easing shock leads to a persistent rise in CRE prices, both within and outside the US, and an expansion of credit, but mostly in the US. To interpret these findings, we develop an open economy New Keynesian model with CRE markets, which highlights the role of increased domestic demand for foreign CRE as a key transmission channel. Moreover, the model reveals that spillover effects can spill back to the US via trade linkages, amplifying the initial effects of US monetary policy.

Keywords: monetary policy; commercial real estate; international spillovers; quantitative easing; global VAR-X model; New Keynesian model;
JEL codes C32; E32; E52; F42; R33;

Working paper no. 872

872 - US monetary policy spillovers through global commercial real estate

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Research highlights:

  • We estimate the cross-border spillover effects of US monetary policy through global commercial real estate (CRE) markets

  • We use a rich global VAR-X model, high-frequency yield curve movements around FOMC events to capture US QE shocks, and transaction-level CRE data to capture interdependencies between 22 cities across 11 countries

  • A US QE shock raises CRE prices, not only in the US, but also in CRE markets outside the US, which is primarily driven by portfolio rebalancing of US investors rather than foreign credit expansion

  • Using a New Keynesian model, we identify three novel transmission channels of QE through CRE markets: (1) a direct effect through higher domestic CRE prices, (2) a spillover effect through an increase in domestic demand for foreign CRE, and (3) a spillback effect through an expansion in foreign CRE activity that raises foreign aggregate demand for domestic exports

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