The interest rate sensitivity of real estate
The interest rate sensitivity of real estate
复制标题
房地产的利率敏感性
DOI：
10.1080/09599916.2010.500815
复制
发表时间：
2010
影响因子：
1.9
通讯作者：
Martin Hoesli
中科院分区：
文献类型：
--
作者：
Alain Chaney;Martin Hoesli
本研究有助于更好地理解房地产的利率敏感性，并应使更复杂的利率风险管理，特别是对保险公司和养老基金。这是通过基于瑞士投资房地产市场的代表性和独家数据集，对典型办公投资物业的整个生命周期进行建模来实现的。利率、通胀、写字楼市场租金、当前已付租金和支出之间的相互依赖关系是实证建模的。我们进行蒙特卡罗模拟，明确地结合了潜在随机过程的不确定性，它们的相互依赖性和建模不确定性，从而提供了最终估计不确定性的指示。结果表明，典型办公物业的利率敏感性为13.1%，标准差为7.8%。风险溢价、宏观经济环境的状态、利率曲线的旋转程度和财产的剩余寿命被发现是利率敏感性的主要决定因素。
This study yields a contribution to a better understanding of the interest rate sensitivity of real estate and should enable a more sophisticated interest rate risk management, especially for insurance companies and pension funds. This is achieved by modelling the whole life of a typical office investment property, based on a representative and exclusive data set for the Swiss investment real estate market. The interdependencies between interest rates, inflation, office market rents, current rent paid and expenses are modelled empirically. We perform Monte Carlo simulations that explicitly incorporate the uncertainty of the underlying stochastic processes, of their interdependencies and of modelling uncertainties, thus providing an indication of the final estimate’s uncertainty. Our results show that the interest rate sensitivity of a typical office property is 13.1%, with a standard deviation of 7.8%. The risk premium, the state of the macroeconomic environment, the degree of rotation of the interest curve and the remaining lifetime of the property are found to be the prime determinants of interest rate sensitivity.