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25 november 2021 Onderzoek Toezichtlabel Working Papers

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 2005 to 2019. 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.

Keywords: Commercial Real Estate, Prices, Spillovers, Spatial Dependence,
Global Markets
JEL classification: R3, R12


Working Paper No. 732

732 - Price diffusion across international private commercial real estate markets



  • Bing Zhu
  • Dorinth van Dijk
  • Colin Lizieri