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Modeling Space Market Dynamics: An Illustration Using Panel Data for US Retail

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  • Patric Hendershott
  • Maarten Jennen
  • Bryan MacGregor

Abstract

Real estate research has a long and extensive history of analyzing space market dynamics. Nonetheless, two areas have been under researched. Regional panels of data have been rarely analyzed. Moreover, due to data constraints, the retail market has been studied much less than other market segments. This paper addresses both of these topics through an analysis of Metropolitan Statistical Area (MSA) level panel data. Our study covers almost three decades of annual retail data for 11 of the largest MSAs of the United States. We estimate a long run rent model and use Error Correction Models for short run rent, vacancy and supply adjustments. We test for differences in local market behavior in both the long run equilibrium relationships and in the short run adjustment processes. We identify two groups of similar markets. Copyright Springer Science+Business Media New York 2013

Suggested Citation

  • Patric Hendershott & Maarten Jennen & Bryan MacGregor, 2013. "Modeling Space Market Dynamics: An Illustration Using Panel Data for US Retail," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 659-687, November.
    • Handle: RePEc:kap:jrefec:v:47:y:2013:i:4:p:659-687
    DOI: 10.1007/s11146-013-9426-z
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    References listed on IDEAS

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    1. Patric Hendershott & Bryan MacGregor, 2005. "Investor Rationality: An Analysis of NCREIF Commercial Property Data," Journal of Real Estate Research, Taylor & Francis Journals, vol. 27(4), pages 445-476, January.
    2. Albert Saiz, 2010. "The Geographic Determinants of Housing Supply," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1253-1296.
    3. Fotis Mouzakis & David Richards, 2007. "Panel Data Modelling of Prime Office Rents: A Study of 12 Major European Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(1), pages 31-53, February.
    4. Hilber, Christian A.L. & Mayer, Christopher, 2009. "Why do households without children support local public schools? Linking house price capitalization to school spending," Journal of Urban Economics, Elsevier, vol. 65(1), pages 74-90, January.
    5. Edward L. Glaeser & Joseph Gyourko, 2005. "Urban Decline and Durable Housing," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 345-375, April.
    6. Patric H. Hendershott & Bryan D. MacGregor, 2005. "Investor Rationality: Evidence from U.K. Property Capitalization Rates," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(2), pages 299-322, June.
    7. Dirk Brounen & Maarten Jennen, 2009. "Asymmetric Properties of Office Rent Adjustment," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 336-358, October.
    8. Hendershott, Patric & MacGregor, Bryan & White, Michael, 2002. "Explaining Real Commercial Rents Using an Error Correction Model with Panel Data," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 59-87, Jan.-Marc.
    9. Patric H. Hendershott & Edward J. Kane, 1992. "CAUSES AND CONSEQUENCES OF THE 1980s COMMERCIAL CONSTRUCTION BOOM," Journal of Applied Corporate Finance, Morgan Stanley, vol. 5(1), pages 61-70, March.
    10. Patric Hendershott & Colin Lizieri & Bryan MacGregor, 2010. "Asymmetric Adjustment in the City of London Office Market," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 80-101, July.
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    Cited by:

    1. Qiulin Ke & Michael White, 2015. "Retail rent dynamics in two Chinese cities," Journal of Property Research, Taylor & Francis Journals, vol. 32(4), pages 324-340, December.
    2. Kazushi Matsuo & Morito Tsutsumi & Toyokazu Imazeki, 2023. "Asymmetric Dynamics of Rent and Vacancy Rates in the Tokyo Office Market," International Real Estate Review, Global Social Science Institute, vol. 26(1), pages 1-41.
    3. Horváth, Áron & Sápi, Zoltán & Révész, Gábor, 2016. "Irodapiaci ciklusok jellemzése a hozam, a bérleti forgalom, az üresedés, a bérleti díjak és az új átadás alapján [Yields, take-up, vacancy, rents and new supply during office-market cycles]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 113-136.
    4. Catherine Bruneau & Souad Cherfouh, 2015. "Long-run equilibrium for the Greater Paris office market and short-run adjustments," Journal of Property Research, Taylor & Francis Journals, vol. 32(4), pages 301-323, December.
    5. Ramiro J. Rodriguez & Simon Sosvilla-Rivero, 2017. "Office Market Dynamics in Madrid: Modelling with a Single-Equation Error Correction Mechanism," International Real Estate Review, Global Social Science Institute, vol. 20(4), pages 451-491.

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