Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/308094 
Year of Publication: 
2024
Series/Report no.: 
Technical Paper No. 08/2024
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
We apply the growth-at-risk model of Adrian et al. (2019) to the German commercial real estate (CRE) market. We derive a distribution for CRE price growth four quarters ahead conditional on macro-financial variables. This approach allows us to make probability statements about the downside risk to future CRE price growth, which serve as an input to financial stability analyses. We find that the conditional distribution has shifted strongly to the left since the COVID-19 pandemic, in line with deteriorating macroeconomic conditions, an increase in long-term interest rates and a decline in the net initial yield, resulting in lower expected CRE price growth rates across the entire distribution.
Subjects: 
Commercial Real Estate
Quantile Regression
Growth-at-Risk
Germany
JEL: 
C32
E37
G01
R33
Document Type: 
Working Paper

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