velikost textu

Real Estate Cycle in the Czech Republic and Office Capitalization Rate Forecasts

Upozornění: Informace získané z popisných dat či souborů uložených v Repozitáři závěrečných prací nemohou být použity k výdělečným účelům nebo vydávány za studijní, vědeckou nebo jinou tvůrčí činnost jiné osoby než autora.
Název:
Real Estate Cycle in the Czech Republic and Office Capitalization Rate Forecasts
Typ:
Rigorózní práce
Autor:
Mgr. Radek Zelenka
Vedoucí:
PhDr. Pavel Streblov
Oponent:
doc. Bc. Roman Horváth, M.A., Ph.D.
Id práce:
113427
Fakulta:
Fakulta sociálních věd (FSV)
Pracoviště:
Institut ekonomických studií (23-IES)
Program studia:
Ekonomické teorie (N6201)
Obor studia:
Ekonomie (E)
Přidělovaný titul:
PhDr.
Datum obhajoby:
19. 10. 2011
Výsledek obhajoby:
Prospěl/a
Jazyk práce:
Angličtina
Klíčová slova:
tržní kapitalizace, kancelářské nemovitosti, předpovědní modely, makroekonomické a finanční fundamenty
Klíčová slova v angličtině:
capitalization rate, office yield, real estate, forecasting models, macroeconomic and financial fundamentals
Abstrakt:
Abstract The presented study describes commercial real estate markets with focus on office sector. We identify the capitalization rate (investment yield) as one of the fundamental variables in the commercial property valuation. Based on historical office investment yield observations and various econometric models we predict the office capitalization rate development in the Czech Republic. We use data of the United Kingdom, Ireland and Sweden to identify common yield trend especially with respect to their real estate crises dating in 1990s which indicate similar features to real estate crisis in 2008-2010. As explanatory variables for the econometric models (ARIMA, OLS, VAR) we use financial and macroeconomic variables. We use the OLS models to identify optimal set of explanatory variables, which we than apply in VAR models. On dataset of the comparable countries we compare the fitness of the VAR and ARIMA models, the best variants are used for prediction of the Czech office yield. We then improve our forecasts by implementing exogenous forecasts of macroeconomic variables used in the models. Majority of our predictions forecast a slow decrease of the prime office capitalization factor in next three years (2011 - 2014) in magnitude of 0.25% - 1.25% (to 6.25% - 5.75%).
Abstract v angličtině:
Abstract The presented study describes commercial real estate markets with focus on office sector. We identify the capitalization rate (investment yield) as one of the fundamental variables in the commercial property valuation. Based on historical office investment yield observations and various econometric models we predict the office capitalization rate development in the Czech Republic. We use data of the United Kingdom, Ireland and Sweden to identify common yield trend especially with respect to their real estate crises dating in 1990s which indicate similar features to real estate crisis in 2008-2010. As explanatory variables for the econometric models (ARIMA, OLS, VAR) we use financial and macroeconomic variables. We use the OLS models to identify optimal set of explanatory variables, which we than apply in VAR models. On dataset of the comparable countries we compare the fitness of the VAR and ARIMA models, the best variants are used for prediction of the Czech office yield. We then improve our forecasts by implementing exogenous forecasts of macroeconomic variables used in the models. Majority of our predictions forecast a slow decrease of the prime office capitalization factor in next three years (2011 - 2014) in magnitude of 0.25% - 1.25% (to 6.25% - 5.75%).
Dokumenty
Stáhnout Dokument Autor Typ Velikost
Stáhnout Text práce Mgr. Radek Zelenka 1.85 MB
Stáhnout Abstrakt v českém jazyce Mgr. Radek Zelenka 6 kB
Stáhnout Abstrakt anglicky Mgr. Radek Zelenka 6 kB
Stáhnout Posudek vedoucího PhDr. Pavel Streblov 191 kB
Stáhnout Posudek oponenta doc. Bc. Roman Horváth, M.A., Ph.D. 98 kB
Stáhnout Záznam o průběhu obhajoby 824 kB