经济政策不确定性与商业地产表现:租金和资本价值的深入分析

IF 2.1 Q2 BUSINESS, FINANCE International Journal of Financial Studies Pub Date : 2024-07-22 DOI:10.3390/ijfs12030071
Albert Agbeko Ahiadu, Rotimi Boluwatife Abidoye, Tak Wing Yiu
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引用次数: 0

摘要

由于一系列不可预见的冲击,特别是全球金融危机、英国脱欧、COVID-19 和俄乌战争,经济不确定性稳步上升。本研究探讨了经济不确定性对澳大利亚写字楼、零售和工业地产行业租金和资本价值的影响。利用 2001Q1 至 2022Q3 的季度数据,通过简化形式的向量自回归(VAR)模型评估了这些绩效指标对国家不确定性冲击的反应。总体而言,不确定性与商业地产绩效之间存在反向关系,不同子行业之间在幅度和持续性上存在明显差异。在所有三个子行业中,租金对外部冲击更为敏感,突出了其作为短期业绩信号的作用。在不确定性受到一个标准差的冲击后,写字楼和零售业的租金在大约三年的时间里稳步下降。而工业租金则反应平淡,恢复较快,通常在五个季度内恢复。工业子行业对外部冲击表现出的这种弹性,使其成为防御性投资战略和投资组合多样化的一个令人信服的选择。与租金相比,资本价值的反应较小,对不确定性冲击的反应微乎其微,长期持续性也不强。
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Economic Policy Uncertainty and Commercial Property Performance: An In-Depth Analysis of Rents and Capital Values
Economic uncertainty has steadily increased in response to a series of unforeseen shocFks, notably the Global Financial Crisis, Brexit, COVID-19, and the Russia–Ukraine war. This study examined the impact of economic uncertainty on rents and capital values in Australia’s office, retail, and industrial property sectors. The reactions of these performance indicators to national uncertainty shocks were assessed through reduced-form vector autoregressive (VAR) models, using quarterly data from 2001Q1 to 2022Q3. Overall, there is an inverse relationship between uncertainty and commercial property performance, with notable variations in magnitude and persistence across the different subsectors. Rents are more sensitive to external shocks across all three subsectors, highlighting their role as signals of short-term performance. Following one standard deviation shock in uncertainty, rents steadily declined for approximately three years in the office and retail subsectors. Industrial rents, however, exhibited muted reactions and recovered quicker, typically within five quarters. This resilience to external shocks displayed by the industrial subsector positions it as a compelling option for defensive investment strategies and portfolio diversification. Capital values are less reactive than rents, showing minimal responses to uncertainty shocks and little long-term persistence.
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来源期刊
CiteScore
3.70
自引率
8.70%
发文量
100
审稿时长
11 weeks
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