Collateral Channel

7/27/2019 Collateral Channel

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American Economic Review 2012, 102(6): 23812409http://dx.doi.org/10.1257/aer.102.6.2381

2381

The Collateral Channel:

How Real Estate Shocks Affect Corporate Investment

B Thomas Chaney, David Sraer, and David Thesmar*

What is the impact o real estate prices on corporate investment? Inthe presence o fnancing rictions, frms use pledgeable assets ascollateral to fnance new projects. Through this collateral channel,shocks to the value o real estate can have a large impact on aggre-gate investment. To compute the sensitivit o investment to collateralvalue, we use local variations in real estate prices as shocks to thecollateral value o frms that own real estate. Over the 19932007

period, the representative US corporation invests $0.06 out o each$1 o collateral. (JEL D22, G31, R30)

I , B (1976), Sgz W(1981), H M (1994) gg . Pg g x g g . T, , g x . A k

. T - : Bk G (1989) Kk M (1997), , -g g , .T GD (Bk 1983) x x J 1980 (C 1990). I x g U S, . T microeconomic .

W 19932007 , $1 US $0.06. T

* C: D E, U Cg, 1126 E 59 S, Cg, IL 60657 (-:.@g.); S: D E B C F, P U,26 P A, P, NJ 08540 (-: @.); T: HEC S Mg,1 L, 78351 J J x, F (-: @.). W g IE F . F , k k N C,S DVg, D G, Lg G, T Mg, Uk M, A M, A Sz, J T. W C M, g G R A . W g INSEE P, USC, UC S Dg R S Mg,NYU S, MIT S, U A, L B S, Ox S S B, U Cg, E U I F, B U, T U, Kgg S Mg, P U, H S B Bk, FS B Dk, S GSB, INSEAD, U N. W g .

T , g ://x..g/10.1257/.102.6.2381.
http://dx.doi.org/10.1257/aer.102.6.2381http://dx.doi.org/10.1257/aer.102.6.2381


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2382 THE AMERICAN ECONOMIC REVIEW OCTOBER 2012

ggg. T z g . A , 1993, g US, 59 . Ag -

g , k 19 k . T g $0.06 , , , k -g . W actuall , k . T g -. T , , . T - -g . T g C,S, Qg (2001) .

T g g : () -g , () . A Hg, M, S (2005) M S (2011), g g g g- -g . W

g. W k ggg . W , g. S, beore ater . B g , - g . T g, , g .

O , gg -. G (2007), , , g --

k , -g J gg 1990 . W . F, g , J k , g k- k U S. S, x x k , , , k J . T g g g , , . W - , g US g , g k . T, J 1980 g - J, G g - . I , g US


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2383CHANEy ET AL.: THE COLLATERAL CHANNELVOL. 102 NO. 6

k , k -g . T G (2007) -g -g . T g g -g

g g x, , xg g . O g -g -g - local , k .1 A Pk Rg (2000), k .B J , k g - , g .2

F, k gg . B, G, Mkz(2005) ( ) g g . B Bg(2008) US k g g x g . F,B Bg (2009) - - ,g g, g -- . W g x , - zg g

.3

T gz . S I - . S II . S III .

I. Data

W g US , g M S A (MSA) .

A.Accounting Data

W COMPUSTAT 1993 g (COMPUSTAT N. 6). T 9,211 83,683 - 19932007. Wk U S x g , , , , -g , j k . W

1

A kg k gg J G Y (2004).

2G (2007) J k k k .

3F zg g g , , g ,E R (2009) R V (2010).


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. Wk . T 5,584 50,858 - .

Real Estate Assets.W .A g k , g .

F, k . Fg N, P, W (2000), j g , , : Bg, L I, C Pg. U, k--k, . T k , gg k .T . T g(COMPUSTAT N. 253) g (COMPUSTAT N. 263)4 g g . B 40 ,5 g g g . W k (19932007) g - 1975, CPI 1975.6, 7

T g g COMPUSTAT

1993.8

T , g , 1993. T 2,792 1993 k 27,543 g - . T 1 kg .I 1993, 59 US .M, , k 28.4 k P, P E (4 k ). F land-holding COMPUSTAT, k 95 k P, P E 19.3 k

. R z g .

S, , k . COMPUSTAT gg . H,

4Uk g, .5A N, P, W (2000), g

( g ). Bg , , . Ag , g g 38 45. T 40--.

6

R L I (COMPUSTAT N. 260), Bg(COMPUSTAT N. 263), C Pg (COMPUSTAT N. 266).

7F g k 1993, g k 0 1993 0 k 1994.

8I 1994, 15 E D Gg, A, R (EDGAR) g . I , Bg g .


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( STATE COUNTY). W x . T - g . F, MSA. S, . T , g 10K . W

S IC.

Other Accounting Data.A , g .

Table 1Summary Statistics

M M SD25

75

O.

F-

I 0.35 0.21 0.40 0.11 0.41 27,201(PPE) (RE) 0.06 0.00 0.34 0.08 0.13 23,5933CAPEX 0.42 0.24 0.47 0.13 0.48 21,186I-j.CAPEX 0.01 0.09 0.39 0.21 0.07 27,173C 0.01 0.26 1.76 0.11 0.59 27,407Mk/Bk 2.18 1.53 1.76 1.11 2.48 25,210DI 0.48 0.01 1.02 0.00 0.38 26,336DR 0.35 0.08 0.65 0.00 0.33 26,825NDI 0.08 0.00 0.50 0.08 0.06 25,760Cg 0.01 0.00 0.15 0.00 0.00 27,543REV (S-) 0.86 0.28 1.36 0.00 1.12 27,543REV (MSA-) 0.83 0.24 1.34 0.00 1.10 26,107REV (MSA-) 0.77 0.09 1.27 0.00 1.01 20,353SRPIx 0.59 0.55 0.20 0.43 0.72 27,543MSARP Ix 0.59 0.56 0.20 0.41 0.72 26,138MSAOPIx 0.68 0.69 0.21 0.52 0.80 20,589LHgSE 1.17 0.90 0.67 0.65 1.31 22,916

I (1993)

RE OWNER 0.59 1.00 0.49 0.00 1.00 2,792Lg () 4.08 3.97 2.19 2.61 5.49 2,791ROA 0.00 0.07 0.25 0.03 0.12 2,782Ag 12.22 8.00 10.57 3.00 19.00 2,792

10K (1997)

HQOWNER 0.24 0 0.429 0 0 3,727

Notes: I x ( N. 128) z gg k ,

(PPE: N. 8). (PPE) (RE) g PPE g , z gg PPE ( N. 8). 3 CAPEX g x x z gg PPE. I-j. CAPEX CAPEX g CAPEX z gg PPE. C x + -z ( N. 14 + N. 18) z gg PPE ( N. 8). Mk/Bk k ( N. 6 + ( N. 60 N. 24) N. 60 N. 74) z k ( N. 6). D I N. 111 z gg PPE ( N. 8). D R N. 114 z gg PPE ( N. 8). N D I D I D R. Cg N. 301 z gg PPE ( N. 8). REV k z gg PPE ( S I ).RE OWNER 1 g 1993. ROA g z z (( N. 13 N. 14)/ N. 6). Ag IPO. MSA/S LR P G R (. Ix) g (. z 1 2006) MSA/S

OFHEO x. O P G R (. Ix) g (. z 1 2006) MSA x. L Hg S E Sz (2010). HQ OWNER 1 1997 10K .


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W x (COMPUSTAT N. 128) P P E (gg N. 8).9W Mk--Bk : k k k ( N. 25) --

( N. 24). T , k , k ( N. 6) (N. 60) x ( N. 74). W z g k g k ( N. 6). W ( N. 18 N. 14) PPE (gg N. 8).

W COMPUSTAT . W g g ( N. 111) z gg PPE (gg N. 8). W g ( N. 114) gg PPE. F, g ( N. 301) COMPUSTAT, z gg PPE. N g g g g z PPE. B g, g g g z gg PPE.

I g , g g 2,792 . T , 1993, R A (g (COMPUSTAT N. 13) (COMPUSTAT N. 14) A(COMPUSTAT N. 6)), A, Ag IPO,

-g SIC .F, , z g / g.10 T 1 g - . W k - (DR, D I, N D I Cg C D) g (0.48 , ) (.g., 0.01 ). T () z gg PPE, , () g k , zg,

g .

Ex Ante Measure o Credit Constraint.T x C U . E . W A, C, W (2004) g g :

9T z PPE (, .g., K Zg 1997 A,

C, W 2004). I 0.21. A z gg ( N. 6), R (2006) , .

10T - (D R, D I, N D I Cg C D) z g /- g 0. O g 5 zg .


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Payout ratio:Ineveryyearoverthe19932007period,werankfrmsbased

g ()g () . W

( (COMPUSTAT N. 21) k (COMPUSTAT N. 115 )) g (COMPUSTAT N. 20).

FirmSize:Ineveryyearoverthe19932007period,werankfrmsbasedon

g () g () z .

BondRating: Ineveryyearoverthe19932007period,weretrievedataon

g g S P (COMPUSTAT N. 280) gz g g g . F .

B.Real Estate Data

Real Estate Prices.W , MSA .

Residential O F Hg EOg.11,12 T OFHEO H P Ix (HPI), g- U S.13B ,

. I , HPI 1975. I M S A, g 1977 1987 g MSA . W HPI g g COMPUSTAT. T MSA HPI, ggg F I Pg S COMPUSTAT MSA g - OFHEO .

Commercial G R A. T - x O I C R E. T x 64 MSA U S g

1985 2003.T 1 ( z 1 2006).

T 0.57, 0.42 MSA . T 0.86.

11:\\..g/x..12

T OFHEO D Hg U D, g g-- (GSE) F N Mgg A (F M) F H LMgg C (F M).

13T HPI g g, HPI x g . T 2007 , g 2008 .


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Measuring Land Suppl.Cg g g .Fg Hg, M, W (2005), g g- g

. L g Sz (2010) 95 MSA. T g -g - . A g- , 30-, x gg F R , 1993 2007.

C.Measurement Issues

T g x g . I , x.

T x k . W (MSA) . W (). T k x, 10K S ExgC 1997.14 T SEC

EDGAR (:\\..g/g.). I - 4,065 1997.15 O , 3,393 g COMPUSTAT.

T 2 3,393 . O 1,578 g COMPUSTAT 1997, 33 (2 ) g 10K . T x g g .

O , 1,815 g

COMPUSTAT, 806 (44 ) g 10K .16 T gg ( MSA) . I MSA, overestimate

141997 10K . W 2000, 2000 S IIG.

15F , - 10K g . I ,171 , 19 . T

, g , , g g ( 183 , x PO x). W .

16N MSA.
http://www.sec.gov/edgar.shtmlhttp://www.sec.gov/edgar.shtmlhttp://www.sec.gov/edgar.shtmlhttp://www.sec.gov/edgar.shtml


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MSA, underestimate . T gg , g g x ( 10K ) g . W g g COMPUSTAT.

S, g OFHEO x - g. A , g 0.42 ( MSA ) 0.57 ( ). M, x

MSA , . T, -: x , g . W g ( ) x .

II. Real Estate Prices and Firm Behavior

I z k -

. O g (.., ) .

A.Empirical Strateg

W . S, i, t, l( MSA), g

(1) INVitl = i + t + REValueit + P tl + controlsit + it,

INV gg PPE,REValueit -k t gg PPE, P t

l l( MSA) t.

Table 210K Headquarter Ownership and COMPUSTAT Real Estate Ownership

N HQ 10K HQ 10K

N RE COMPUSTAT 1,545 33> 0 RE COMPUSTAT 1,009 806

Notes: T - 1997 10K COMPUSTAT COMPUSTAT 1997. > 0 RE COMPUSTAT COMPUSTAT 1997, N RE COMPUSTAT 1997 COMPUSTAT. N HQ 10K () 1997 10K . HQ 10K () 1997 10K .


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T .17 I g , g . A

g . C g , g . T j gg - k k .T g , g , - . I g , . I , - , g , .

Fg g , - , PPE gg k k . T g k , - .18 W x i, x t, g ggg k, .., g . F, P t

l , -

. Sk it S/MSA . T g x- RE Valueit ( B,D, M 2004).

A S IA, k 1993, g .REValuei1993 k , REValueit k .19

L gg

$1 the frm actuall owns, k . T - k .

17I kg C, S, T (2009), j .

18F, g k , j g , g, j .

19Ug 1993 g:

, , x x ; - , x x ; , . W g k , g .


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Endogeneit Issues.T g - 1: () - () .

T

. T g: g g gg g , - g -g gg .T . S, x k, -g .

T g, MSA- . A S IB, g Hg, M, S (2005) M S (2011), g g ggg . W , . I , ( -) g . I , g . W x MSA -, g ( -g g). W , MSA l, t, g g P t

l:

(2) P tl = l + t + Elasticit

l IRt + u tl,

Elasticit MSA , IR k , l MSA x , t , . T -g g - T 3.

T , S IIC g g . I ,

x z g g k.

T g 1 : k k, . A g , i,Xi, P t

m. I k i k , k i , g

.TXi g

Ag, A, R A -g S . W T 4


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g , x, . T 4 - OLS g REOWNER, 1 , REValue, k , . O, g, , .., , k .20

Cg , g :

(3) INVitl = i + t + REValueit + P tl +

k

k Xki P t

l + controlsit + it.

H, -g g -, k (3) . U, - . Y, -g -g . T , k S IIF ,

20N , , k k. T gg g -g inherentl k k k .

Table 3First-Stage Regression: The Impact of Local Housing Supply Elasticity on Housing Prices

MSA R P MSA O P

(1) (2) (3) (4)

L g gg 0.028*** 0.036***

(6.3) (5)

F gg 0.064*** 0.066***(8.9) (5.1)

S gg 0.046*** 0.033**(6) (2)

T gg 0.014** 0.0097(2.2) (0.41)

Y Y Y Y YMSA x Y Y Y YO 1,358 1,358 804 804AjR2 0.94 0.94 0.84 0.84

Notes: T g g , Sz (2009), . T x, MSA 1 2 MSA x 3 4. C 1 3 g , 2 4 . A g MSA x MSA . T- .

***Sg 1 .**Sg 5 .*Sg 10 .


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beore . I , .S IIF g . W , , gg, , g .

B.Main Results

T 5 (1) (3). C 1 (1) . L-g

Table 4Determinants of Real Estate Ownership

RE OWNER RE V ()

(1) (2)

2 0.16*** 0.12*

(7.5) (1.8)3 0.32*** 0.17**

(14) (2.5)

4 0.49*** 0.33***(20) (4.4)

5 0.51*** 0.11(18) (1.3)

2 ROA 0.13*** 0.4***(5.6) (5.8)

3 ROA 0.14*** 0.25***(6) (3.5)

4 ROA 0.14*** 0.21***

(5.8) (3)5 ROA 0.12*** 0.23***

(5.3) (3.3)

2 g 0.045** 0.017(2) (0.25)

3 g 0.12*** 0.13**(6) (2.2)

4 g 0.24*** 0.5***(11) (7.7)

5 g 0.26*** 0.92***(11) (13)

I x Y YS x Y YO 2,782 2,782AjR2 0.54 0.24

Notes: T R E O 1993. T RE OWNER ( 1), g 1993 RE V ( 2), k 1993. C A, Ag, ROA, I S x . T- .

***Sg 1 .**Sg 5 .*Sg 10 .


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-g . T 0.074, $1 $0.074. T g 1 . T g: RE Value 26 .21

I 2, g . T

21IgREValue (1.36) INV 0.074 1.36 = 0.10, 26 (0.4).

Table 5Real Estate Prices and Investment Behavior

C x

(OLS) (OLS) (OLS) (OLS) (OLS) (IV) (OLS) (IV)

(1) (2) (3) (4) (5) (6) (7) (8)

REV (SR.P) 0.074*** 0.065*** 0.052***(15) (13) (11)

REV (MSAR.P) 0.053***(11)

REV (MSAO.P) 0.06*** 0.062***(8.9) (5.5)

RE OWNER MSAO.P 0.21*** 0.44***(3.3) (2.75)

SR.P 0.11* 0.91** 0.46(1.8) (2) (1.2)

MSAR.P 0.58(1.3)

MSAO.P 0.25 0.22 0.062 0.2

(0.27) (0.09) (0.065) (0.075)C 0.027*** 0.027*** 0.026*** 0.026*** 0.026*** 0.026***

(8.4) (8.9) (7.5) (3.8) (7.5) (4.4)

Mk/Bk 0.068*** 0.068*** 0.071*** 0.07*** 0.072*** 0.071***(20) (20) (19) (10.1) (19) (11.3)

I.C SR.P N Y Y N N N N N

I.C MSAR.P N N N Y N N N N

I.C MSAO.P N N N N Y Y Y Y

Yx Y Y Y Y Y Y Y Y

Fx Y Y Y Y Y Y Y Y

O 27,201 27,026 24,167 22,894 17,805 17,586 18,031 17,731

AjR2 0.28 0.29 0.33 0.33 0.33 0.33 0.33 0.33

Notes: T k . T x ( N. 128 z gg N. 8). C 1, 2, 3 - x. C 4 MSA- , 5,6, 7 MSA- . Ex 1, g - ( g,, ROA, -g ) R E P. A g-, x 1 2, C Mk/Bk. C 6 8 IV - MSA g gg k Sz (2010)( 3 T 3 -g g). A - x - MSA- . I IV - 6 8, MSA- . T- .

***Sg 1 .**Sg 5 .*Sg 10 .


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0.065, g 1 , 0.074 1.

C 3 g -, .., C Mk Bk. T

, 0.052.22,23 I , x 18 Mk Bk . N , , C Mk Bk g, .

C 4 3 g MSA- x - x. Ug MSA g k. I . I k g . H, - g , . T 4 , 0.053.

C 5 . T MSA g (22,894 24,167 - g MSA ). H, g g 1 g g - g : $1

g $0.06 .C 6 IV g g (S IIA). L -g g, 2. T T 3. T MSA , MSA . I 1 3, g Sz (2010). I 2 4, g MSA g .

L g MSA -

. W x g g MSA . A x, - 2 g 1 . F , g 4, 100 x 6.6 g ( ) ( ). T

22I , g, g Mk--Bk g C.

23

A x kg (C, S, T 2009), Mk--Bk g . I, Mk--Bk g k , g k . T g k g g k . A , k Mk--Bk .


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g, g. A F- 10, k.

Mg -g , P tl

2 x 3.24 C 6

T 5 g g (.., 3 T 3). T IV g OLSg, 0.062 g 1 .

C 7 15 - . T , REOWNER ( 1 ) x. T g g, g g g. O , (REOWNER) (REValue). W 0.06 - 5 $1 $0.06 , 0.21 7 g, x, 21 g . T g - , 5. A

REOWNER (,REValue) 21 (, 19 ) .25

C 8 IV g 7. I , - , 0.21 0.44. T g, g 1 .

C.Robustness Checks

T 6 k (3) 5 T 5.

24B g, j g. I IV, -. T : MSA-; -g g ; -; (MSA-), MSA- , - (.., MSA- MSA-); -g g . W 500 ,

.25T 7 0.21, g- RE Owner MSA 0.39, 0.21 0.39 0.082 20.5 - . (0.40). T 5 0.06, RHS RE Value 1.27, 0.06 1.27 0.076 19 (0.40).


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C 1 2 : 1999 1, 2000 2. A g T 5 g g . F ,

gg . W , (3) , 19932000 20002007. T g . T g g 1999 2000 (0.08 0.078), . N g- g .

C 3 3 g MSA.T , g . W

z, g 20 MSA. T g 1 g , , (0.058 0.06).

Table 6Real Estate Prices and Investment Behavior: Robustness Checks

B ALgMSA (PPE)

3- I. j. U 10K

1999 2000 (RE) x x (1) (2) (3) (4) (5) (6) (7) (8)

RE V 0.08*** 0.078*** 0.058*** 0.03*** 0.088*** 0.061*** (MSA O. P) (6.1) (5.6) (5.7) (4.1) (12) (9.2)

RE OWNER 0.23*** 0.17***MSA O. P (2.9) (3.2)

MSA O. P 1.1 0.81 0.12 0.56 0.72 0.33 0.99 2.9(0.98) (1) (0.21) (0.58) (0.36) (0.37) (0.66) (1.6)

C 0.029*** 0.02*** 0.022*** 0.022*** 0.042*** 0.025*** 0.016*** 0.017***(5.5) (3.6) (4.7) (6.8) (12) (7.3) (5.5) (5.1)

Mk/Bk 0.079*** 0.058*** 0.061*** 0.061*** 0.069*** 0.068*** 0.087*** 0.069***(15) (8.5) (12) (18) (17) (18) (25) (21)

I. MSA O. P

Y Y Y Y Y Y Y Y

Y x Y Y Y Y Y Y Y Y

F x Y Y Y Y Y Y Y YO 11,440 6,365 9,282 15,691 14,384 17,782 19,886 17,558AjR2 0.37 0.32 0.28 0.19 0.49 0.27 0.33 0.28

Notes: T k . T g 5 T 5. C 1 2 g : 19931999 (- 1) 20002007 ( 2). C 3 z 20 MSA. C 4 PPE z gg PPE. C 5 g x x z gg PPE. C 6 x g x z gg PPE . C 7 7 T 5, 1993. C 8 8 T 5 10K . A g MSA- , x , C,

Mk/Bk , MSA- . S MSA- . T- .

***Sg 1 .**Sg 5 .*Sg 10 .


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C 4 PPE . O . I , ,

g .26 Rg . T g g 1 .27

C 5 g - , g . O x , g g g. A x, $0.06 $0.088, g $1 - g 8.8 x g . T G (2007), g . S 0.8 g 10 g g g 0.88.28

C 6 i j i -g SIC . S , x g . T g $0.061 $1 g

1 .C 7 , g 1993. T - . O, x S IA, g k 1993. F 1993, k k k . W 3. T g- 7 T 6 g

7 T 5. T g (0.23 0.21) g 1 .

C 8 10K 1997.29 T S IC. U, 10K , .

26I g, g - .

27N PPE ,

. W g PPE g , . T - .

28G (2007) g 1994 1998 1989.

2910K 1997.


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W (3) 7 T 5 7 T 6. T 0.23 0.17, g 1 .

F, g T 6 -

g IV g ( S IIA). T g.30

D.Heterogeneous Responses: Ex Ante Credit Constraints

A x K Zg (1997), g x . T , g x : () () z () g. T S IA. W (3) .

A T 7, g - g k. T - g g g g . F , 3 z 0.091 0.042 3 . T g

1 .H g, g g .31

E. Collateral and Debt

I , x g g . I g, g , , k g. W

. T g x . S (, .g., H M 1994) g , g.

T 8 ,g COMPUSTAT . T , C Mk/Bk (3) g- :

(4) DebtIssues itl

= i + tl

+ RE Valueit + itl.

30T IV .31T IV .


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T , z gg g x (PPE). T, g (4) 2 T 5, .., 0.067.

T T 8. C 1 2 k . W -g k g

. A $1 - $0.095 $0.05. T - , .., 3, $0.032, g . T both and gg k g g- , g g , . I , g -g . U, COMPUSTAT g , g g -

. Dg . A 1 3 (.., ) k (.., g- ). C 4

Table 7Real Estate Prices and Investment Behavior: Constrained versus Unconstrained Firms

C x

P F z B g

C U C U C U

RE V 0.084*** 0.043*** 0.091*** 0.042*** 0.073*** 0.03***

(MSA O P) (7.2) (4.1) (6.1) (4.4) (7.2) (3.6)(7) (4.3) (5.9) (4.6) (7.2) (3.7)

MSA O P 0.22 0.18 6.2 0.51 0.14 1.9(0.084) (0.16) (0.71) (0.51) (0.087) (1)

C 0.02*** 0.055*** 0.014*** 0.08*** 0.026*** 0.055***(4.5) (6.1) (2.7) (5.7) (5) (3.2)

Mk/Bk 0.069*** 0.06*** 0.057*** 0.055*** 0.075*** 0.064***(13) (8.3) (11) (7.4) (13) (5.8)

I MSA O P

Y Y Y Y Y Y

Y x Y Y Y Y Y YF x Y Y Y Y Y Y

T C. = U. 3.16*** 3.01*** 3.14***O 8,879 6,090 5,846 4,535 10,409 3,208AjR2 0.29 0.48 0.18 0.66 0.32 0.6

Notes: T 5 T 5 g x .T x ( N. 128 z gg N. 8). RE V (MSAO P) k z gg PPE. A g - ( Ag, A, ROA -g ) R E P, C Mk/Bk. C -g g x ( 1 2), z ( 3 4), g ( 5 6). T C. = U. t- RE V . A x MSA- . T- .

***Sg 1 .**Sg 5 .*Sg 10 .


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kg k g- . T - (0.044) 3.

O - , g . H, , g g , $0.0034 $1. B k g- - .

T g g .32

F.Are Real Estate Purchasers Dierent rom Nonpurchasers?

T -. T g .F , g .

I , g - g . O g . W , beore ,

32T IV .

Table 8Real Estate Prices and Debt Issues

D D N Cg Cg g-

(1) (2) (3) (4) (5)

RE V (MSA O P) 0.095*** 0.05*** 0.032*** 0.044*** 0.0034(5.5) (5) (3.5) (5.6) (1.2)

MSA O P 3.1 2.5 0.12 0.048 0.56*(0.94) (0.83) (0.23) (0.069) (2)

I MSA O P

Y Y Y Y Y

Y x Y Y Y Y YF x Y Y Y Y YO 19,375 19,691 18,952 20,138 20,210AjR2 0.3 0.36 0.096 0.0069 0.012

Notes: T . T D I ( 1), D R ( 2), N D I ( 3), Cg Lg-T D

( 4), Cg C D ( 5). RE V (MSA O P) k g MSA- z gg PPE. A g - ( Ag, A, ROA -g ) R E P. A x MSA- . T- .

***Sg 1 .**Sg 5 .*Sg 10 .


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g . Y, k - g ater .

T k , . T k g

, g . T 7 T 5.

W COMPUSTAT F,I, R E, C, Mg I, j k, . T 1984 2007, 1984 g g COMPUSTAT. W - . W 0 , ). W - . W 367 4,136 - , g gg 1986 2005. T - beore 2,144. T g 1984 2007 COMPUSTAT. T 2,751 16,011 - .

W (1) beore . T T 9, 1 2.

I g, , g , . M , - 0. F g - . T j x - -g . H, z g xg: g , g .

T g S IIB gg within . I , (1) ater . T - 3 T 9. T 0.38 , g 5 - . R 2, g 0.64 . T g 2 . T - g (0.21) - 7 T 5.33

33A RE OWNER , k 7 T 5.


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C 4, 5, 6 T 9 g 1, 2, 3 g g- . T -g g beore ( 4 5). D g ater ( 6). O, - g

.

G.A Closer Look at the Real Estate Bubble

I , g g 2002 2006 . T () , () x , () g . T g M S (2011) G (2007).

W MSA g g ( ), g -g . I x ( SIC), 2000, g

Table 9Real Estate Prices and Investment: The Case of Purchasers

C x Cg g-

P P P PN- N-

(1) (2) (3) (4) (5) (6)

MSA O P 0.015 0.26 0.38** 0.04 0.29 0.64***

(0.23) (1.3) (2) (0.7) (1.4) (2.7)

C 0.018*** 0.033*** 0.032** 0.005** 0.0012 0.0012(6.6) (3.4) (2.3) (2.1) (0.16) (0.081)

Mk/Bk 0.074*** 0.072*** 0.071*** 0.016*** 0.012 0.041***(23) (7.2) (6.2) (6.1) (1.5) (4)

T P. = N P. 1.36 1.58

T P. = P. 2.40** 3.11**

O 15,794 1,651 1,794 15,956 1,659 1,797AjR2 0.36 0.47 0.44 0.16 0.24 0.21

Notes: T -g C, . C Ex, z gg PPE, 1 3; Cg Lg-T D, z gg PPE, 4 6. C 1 3 k MSA O P . C 2 4 k . C 3 6 , . T P. = N P. p- t- - MSA O P - . TP. = P. p- t- MSA O P . A C Mk Bk, x - . T- .

***Sg 1 .**Sg 5 .*Sg 10 .


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10K S Exg C.34 W k S IC g . W g .

Fg 1 2000 2006 MSA g g . I , k, - . L MSA x g

g MSA: 2000 2006, 59 MSA, 24 g - MSA. Fg 2 g kg x . I MSA, CAPEX 20002006 PPE( ) 40 g g g . B , g MSA, z x g g ( ). I g, - x . Fg 3 g- :

g MSA k g

34I I 2 10K , .

Figure 1. Relative Evolution of Office Prices (High versus Low Elasticity MSA, 20002006)

Note: T g g x (z 1 2000) MSA (L E MSA) MSA (Hg E MSA) .

0.9

1

1.1

1.2

1.3

1.4

1.5

1.6

MSAofceprices

2000 2002 2004 2006Year

Low elasticity High elasticity


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Figure 2. Relative Evolution of Accumulated CAPEX (Owners versus Renters, 20002006)

Notes: T g , 2000 2006, g CAPEX g CAPEX , MSA (L E MSA) MSA - (Hg E MSA) . A CAPEX 0 2000, CAPEX 2000 , z 2000.

0.04

0.02

0

0.02

0.04

0.06

0.08

Relativeaccumulated

CAPEX

2000 2002 2004 2006

Year

Low elasticity MSA High elasticity MSA

Relative accumulated CAPEX (owner vs. renter)

Relativ

edebtgrowth

2000 2002 2004 2006

Year

Low elasticity MSA High elasticity MSA

Relative debt growth (owner vs. renter)

0.04

0.02

0

0.02

0.04

0.06

0.08

Figure 3. Relative Evolution of Aggregate Debt (Owners versus Renters, 20002006)

Notes: T g , 2000 2006, g g , MSA (L E MSA) MSA (Hg EMSA) . D g 0 2000, g g 2000 , z 2000.


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k MSA g ( ) MSA g ( ).

T 10 g g - g. W g- -- g g :

(5)CAPEXim

0006

_

Assetsim00

= m + (Ofce Price)m

0006

__

Ofce Pricem00

Headquartersi

+ (Ofce Price)m

0006__

Ofce Pricem00

+ im,

CAPEXim0006_

Assetsim00 i x 2000 2006,z 2000,

(Ofce Price)m0006

__

Ofce Pricem0006 MSA m g 2000 2006, Headquartersi 1 i - 2000, 10K .

Table 10Headquarter Ownership and the Impact of the Real Estate Bubble

A x Cg

(1) (2) (3) (4) (5) (6) (7) (8)

H 0.18** 0.075*

( ) 20002006 (2.3) (1.8)

H 0.092** 0.1*** 0.043** 0.044**(2.6) (2.8) (2.5) (2.6)

H 0.0025 0.0017 (0.038) (0.057)

H 0.021 0.0045 (0.32) (0.11)

H 0.12* 0.063** (1.8) (2.1)

E 0.08*** 0.086*** 0.006 0.0069(2.8) (3.1) (0.7) (0.82)

( ) 20002006 0.024 0.032(0.45) (1.4)

S 0.0082 0.012(0.39) (0.69)

T 0.042 0.0091(1.3) (0.83)F 0.12*** 0.0091

(2.6) (0.8)Lg(2000) 0.02*** 0.02*** 0.0035 0.0032

(3.4) (3.4) (1.2) (1.2)O 1,696 1,794 1,794 1,794 1,772 1,870 1,870 1,870AjR2 0.002 0.0091 0.019 0.017 0.0049 0.0023 0.0035 0.004

Notes: T x 2000 2006, g - 10k . C 1 4 x z . C 5 8 g z -. E g Sz (2010). O MSA L. T- .

***Sg 1 .

**Sg 5 .*Sg 10 .


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T g 10K 8 T 6.

C 1 T 10 (5). T g 10K

8 T 6. O 20002006, 10 , 1.8 g . T g 19932007 (2.1g 10 ), g G (2007) J (0.8 g ).

C 2 g g -: g g . A x, g g , , g g g : MSA g g , -, -; MSA g , , .

C 3 g g 2 g z. T , g .

C 4 g .F, 58 g 14, g

g (Debtim0006_

Assetsim00) -

.O, T 10 Fg 2 3. F

g x g g g g- , MSA , .., MSA g . T g .

III. Conclusion

W $1, x $0.06. T g .T k g g k . A , g . A , x k

ggg . H, k g. I , g , ggg . Ug g


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k , GDP, . W k .

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