TAILIEUCHUNG - Interest Rate and Investment under Uncertainty: Evidence from Commercial Real Estate Capital Improvements

Tham khảo sách 'interest rate and investment under uncertainty: evidence from commercial real estate capital improvements', tài chính - ngân hàng, đầu tư bất động sản phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Interest Rate and Investment under Uncertainty Evidence from Commercial Real Estate Capital Improvements Liang Peng Leeds School of Business University of Colorado at Boulder Email Thomas G. Thibodeau Leeds School of Business University of Colorado at Boulder Email . edu Abstract This paper empirically analyzes the non-monotonic influence that interest rate changes have on irreversible investment in income producing properties. Using the complete history of quarterly capital improvements for 1 416 commercial properties over the 1978 to 2009 period we find strong evidence of the non-monotonic effect for apartment office and retail properties but not for industrial properties. For the first three property types a decrease in the Treasury yield dramatically increases capital improvements when property values are high but has a weak or negative effect when property values are low. This result has important implications for monetary and fiscal policies. JEL classification E22 E52 Key words interest rate investment under uncertainty commercial real estate The authors thank the Real Estate Research Institute for a research grant and thank Marc Louargand and David Watkins for valuable comments. Liang Peng thanks the National Council of Real Estate Investment Fiduciaries NCREIF for providing the data. The authors take responsibility for any errors in this manuscript. 1 I. Introduction Investment under uncertainty is one of the most important economic decisions that investors make . Dixit and Pindyck 1994 . Among all variables that might affect investment interest rate changes have important implications for monetary and fiscal policies and have drawn a lot of attention from economists. While the neoclassical theory of investment . Jorgenson 1963 predicts that a decrease in the interest rate increases investment by reducing the cost of capital recent theoretical analyses . Capozza and Li 1994 Capozza and Li 2002 and .

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