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Jel Classification:R33 

Working Paper
Intermediary Segmentation in the Commercial Real Estate Market

Banks, life insurers, and commercial mortgage-backed securities (CMBS) lenders originate the vast majority of U.S. commercial real estate (CRE) loans. While these lenders compete in the same market, they differ in how they are funded and regulated, and therefore specialize in loans with different characteristics. We harmonize loan-level data across the lenders and review how their CRE portfolios differ. We then exploit cross-sectional differences in loan portfolios to estimate a simple model of frictional substitution across lender types. The substitution patterns in the model match well the ...
Finance and Economics Discussion Series , Paper 2019-079

Working Paper
The other (commercial) real estate boom and bust: the effects of risk premia and regulatory capital arbitrage

The last decade?s boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures. Nevertheless, the role of CRE in the Great Recession has received little attention. This study estimates cohesive models of short-run and long-run movements in capitalization rates (rent-to-price-ratio) and risk premiums across the four major types of commercial properties. Results indicate that CRE price movements were mainly driven by sharp declines in required risk premia during the boom years, followed by sharp ...
Working Papers , Paper 1504


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Duca, John V. 1 items

Glancy, David P. 1 items

Krainer, John 1 items

Kurtzman, Robert J. 1 items

Ling, David C. 1 items

Nichols, Joseph B. 1 items

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G21 2 items

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