Your browser does not support the PubReader view.
Go to this page to see a list of supporting browsers.
Korean Academic Society of Business Administration
[ Article ]
korean management review - Vol. 54, No. 6, pp.1825-1850
ISSN: 1226-1874 (Print)
Print publication date 31 Dec 2025
Received 30 Jun 2025 Revised 09 Sep 2025 Accepted 25 Sep 2025
DOI: https://doi.org/10.17287/kmr.2025.54.6.1825

글로벌 상업용 부동산 자본환원율 변화와 COVID-19

문정훈 ; 한규식
(주저자) 국민연금기금운용본부
(교신저자) 전북대학교 경상대학 경영학과
Global Capitalization Rate Dynamics and COVID-19
Junghoon Moon ; Gyu-Sik Han
(First Author) National Pension Service Investment Management geve00@gmail.com
(Corresponding Author) Department of Business Administration, Jeonbuk National University gshan0815@jbnu.ac.kr


Copyright 2025 THE KOREAN ACADEMIC SOCIETY OF BUSINESS ADMINISTRATION
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted, distribution, and reproduction in any medium, provided the original work is properly cited.

초록

본 연구는 Cap Rate이 단순한 할인율이 아니라 실업률, CPI, 산업생산, 유동성 등 거시경제 변수의 영향을 받는 반응 변수임을 COVID-19 Pandemic 전후의 비교를 통해 실증적으로 밝힌다. 분석은 7개국을 미국, 유럽, 아시아-태평양 3개 지역으로, 자산을 오피스, 리테일, 산업, 아파트의 4개 섹터로 구분하여 수행되었으며, 패널 회귀모형, 이중차분법(DID), 사건연구(Event Study) 기법을 통합적으로 적용하였다. 특히 팬데믹 불확실성 지수(IDTI)를 외생 변수로 활용해 Cap Rate의 변화 양상과 지역·자산 유형별 차별적 반응을 규명하였다. 이는 글로벌 상업용 부동산 시장에 대한 정교한 리스크 해석틀을 제시한다.

Abstract

This study empirically investigates the response of the capitalization rate (Cap Rate) in global commercial real estate (CRE) to the exogenous shock of the COVID-19 pandemic. Unlike prior literature that primarily interprets the Cap Rate as a discount rate linked to interest rates or inflation, this research identifies the Cap Rate as a macro-sensitive response variable influenced by factors such as unemployment, the Consumer Price Index (CPI), industrial production, money supply (M2), short-term rates, and stock returns. Using a monthly panel dataset covering seven countries, we categorize observations across three major global regions (U.S., Europe, Asia-Pacific) and four distinct property sectors (office, retail, industrial, and apartment). We employ panel regressions, Difference-in-Differences (DID), and event study methods to capture both structural changes and dynamic responses before and after the pandemic onset. The introduction of the Infectious Disease Tracker Index (IDTI) as an exogenous proxy for pandemic uncertainty allows for robust identification of shock effects. Our findings reveal heterogeneous Cap Rate responses across sectors and regions, which reflect underlying differences in investor expectations, policy credibility, and structural risk. This study contributes to the literature by offering a more comprehensive interpretation of Cap Rate behavior and provides practical insights for valuation, risk management, and policy analysis in the post-pandemic real estate market.

Keywords:

Commercial Real Estate Capitalization Rate, COVID-19 Pandemic, Difference-in-Differences, Event Study, Infectious Disease Tracker Index (IDTI)

키워드:

상업용 부동산 자본환원율, COVID-19 팬데믹, 이중차분법, 사건 연구, 팬데믹 불확실성 지수

Acknowledgments

This research was supported by “Research Base Construction Fund Support Program” funded by Jeonbuk National University in 2025.

References

  • 박헌준, 신현한, 최완수 (2004). “한국기업의 대리인비용과 기업가치: 외국인 지분의 역할,” 경영학연구, 제33권 2호, pp.655-682.
    Park, H. J., Shin, H. H., and Choi, W. S. (2004). “The Korean Firms’ Agency Costs and Firm Value: Role of Foreign Investors’ Equity Ownership,” Korea Management Review, 33 (2), pp.655-682.
  • 유정은, 손성진 (2024). “COVID-19 팬데믹 기간에도 ESG 경영과 ESG 경영 수준의 변동은 기업 가치를 증대시켜 주는가?,” 경영학연구, 제53권 4호, pp.971-995.
    Yu, J. E. and Son, S. J. (2024). “Can ESG Management and the Volatility of ESG Management Levels During the COVID-19 Pandemic Lead to Enhanced Firm Value?,” Korea Management Review, 53(4), pp.971-995. [ https://doi.org/10.17287/kmr.2024.53.4.971 ]
  • 장지훈, 유정은, 송상영 (2023). “사회 또는 건강에의 위협? 코비드19의 프레이밍이 사람들의 돈과 시간의 기부의사에 미치는 영향에 관한 연구,” 경영학연구, 제52권 1호, pp.249-275.
    Jhang, J., Yoo, J. J., and Song, S. Y. (2023). “Threat on Society or Health? How Different Framing of Covid-19 Affects People’s Willingness to Give Money and Time,” Korea Management Review, 52(1), pp.249-275. [ https://doi.org/10.17287/kmr.2023.52.1.249 ]
  • Baber, H.(2020), “Spillover effect of COVID19 on the Global Economy,” Transnational Marketing Journal, 8(2), pp.177-196. [https://doi.org/10.33182/tmj.v8i2.1067]
  • Baker, S. R., Bloom, N., Davis, S. J., and Terry, S. J. (2020), “Covid-induced economic uncertainty,” NBER Working Paper, 26983. National Bureau of Economic Research. [https://doi.org/10.3386/w26983]
  • Baltagi, B. H.(2008), Econometric analysis of panel data 4th ed., John Wiley & Sons.
  • Białkowski, J., Titman, S., and Twite, G.(2023), “The determinants of office cap rates: The international evidence,” Real Estate Economics, 51(3), pp.539-572. [https://doi.org/10.1111/1540-6229.12424]
  • Brunnermeier, M., and Krishnamurthy, A.(2020), “Corporate debt overhang and credit policy,” Brookings Papers on Economic Activity, 2020(2), pp.447-502. [https://doi.org/10.1353/eca.2020.0014]
  • CBRE (2019), “North America Cap Rate Survey | Second Half 2019,” CBRE, https://www.adventuresincre.com/academy/wp-content/uploads/2021/02/North-America-Cap-Rate-Survey_H2-2019_AWXl.pdf, , retrieved August 2025.
  • CBRE (2021a), “EMEA Cap Rate Survey July 2021,” CBRE, https://www.cbre.com/insights/reports/emea-cap-rate-survey-july-2021, , retrieved May 2025.
  • CBRE (2021b), “U.S. Cap Rate Survey H2 2021,” CBRE, https://www.cbre.com/insights/reports/cap-rate-survey-h2-2021, , retrieved May 2025.
  • CBRE (2021c), “Global Midyear Real Estate Market Outlook 2021: Industrial&Logistics,” CBRE, https://www.cbre.com/insights/books/global-midyear-real-estate-market-outlook-2021/industrial-logistics, , retrieved August 2025.
  • CBRE (2024), “U.S. Cap Rate Survey H1 2024,” CBRE, https://www.cbre.com/insights/reports/us-cap-rate-survey-h1-2024, , retrieved May 2025.
  • Chervachidze, S., and Wheaton, W.(2013), “What determined the great cap rate compression of 2000–2007, and the dramatic reversal during the 2008–2009 financial crisis?,” The Journal of Real Estate Finance and Economics, 46, pp.208-231. [https://doi.org/10.1007/s11146-011-9334-z]
  • Clarke, D., and Tapia-Schythe, K.(2021), “Implementing the panel event study,” The Stata Journal, 21(4), pp.853-884. [https://doi.org/10.1177/1536867X211063144]
  • Clayton, J., Ling, D. C., and Naranjo, A.(2009), “Commercial real estate valuation: Fundamentals versus investor sentiment,” The Journal of Real Estate Finance and Economics, 38(1), pp.5-37. [https://doi.org/10.1007/s11146-008-9130-6]
  • Coën, A., Lefebvre, B., and Simon, A.(2022), “Monetary Policies and European Office Markets Dynamics,” Journal of Real Estate Research, 44(4), pp. 553-573. [https://doi.org/10.1080/08965803.2022.2041263]
  • Deghi, A., Natalucci, M. F. M., and Qureshi, M. S. (2022), “Commercial real estate prices during COVID-19: What is driving the divergence?,” International Monetary Fund. [https://doi.org/10.5089/9798400216848.065]
  • Devaney, S., Livingstone, N., McAllister, P., and Nanda, A.(2019), “Capitalization rates and transaction activity in international office markets: A global perspective,” Global Finance Journal, 42, pp. 100469. [https://doi.org/10.1016/j.gfj.2019.04.003]
  • Di Liddo, F., Anelli, D., Morano, P., and Tajani, F. (2023), “The Impacts of COVID-19 on Real Estate Market Dynamics: A Systematic Literature Review of Emerging Trends,” Buildings, 13(9), pp. 2334. [https://doi.org/10.3390/buildings13092334]
  • Duca, J. V., and Ling, D. C.(2024), “Work-From-Home, COVID-19, and Online Retail Effects on Commercial Real Estate Prices,” 3rd CEMLA/Dallas Fed/IBEFA Financial Stability Workshop, Mexico City.
  • Geltner, D., Miller, N. G., Clayton, J., and Eichholtz, P.(2007), Commercial real estate analysis and investments (2nd ed.), South-Western Educational Publishing.
  • Ha, J.(2025), “Institutional trading and satellite data,” Finance Research Letters, 71, pp.106341. [https://doi.org/10.1016/j.frl.2024.106341]
  • Hoesli, M., and Malle, R.(2023), “Commercial real estate prices in Europe after COVID-19,” Journal of European Real Estate Research, 16(3), 340-358. [https://doi.org/10.1108/JERER-09-2023-0031]
  • IMF(2021), “World Economic Outlook April 2021: Managing Divergent Recoveries,” International Monetary Fund, pp.81-98.
  • Jaeger, D. A., Joyce, T. J., and Kaestner, R.(2017), “Did Reality TV Really Cause a Decline in Teenage Childbearing? A Cautionary Tale of Evaluating Identifying Assumptions,” NBER Working paper, 24856. National Bureau of Economic Research.
  • Larriva, M.(2022), “Cap rates as a function of real economic growth,” Journal of Risk and Financial Management, 15(8), pp.324. [https://doi.org/10.3390/jrfm15080324]
  • Lieser, K., and Groh, A. P.(2014), “The determinants of international commercial real estate investment,” The Journal of Real Estate Finance and Economics, 48, pp.611-659. [https://doi.org/10.1007/s11146-012-9401-0]
  • Ling, D. C., Wang, C., and Zhou, T.(2020), “A first look at the impact of COVID-19 on commercial real estate prices: Asset-level evidence,” The Review of Asset Pricing Studies, 10(4), pp.669-704. [https://doi.org/10.1093/rapstu/raaa014]
  • Miller, D. L.(2023), “An introductory guide to event study models,” Journal of Economic Perspectives, 37(2), pp.203–230. [https://doi.org/10.1257/jep.37.2.203]
  • Mosser, P.C.(2020), “Central Bank Responses to COVID-19,” Business Economics, 55, pp. 191-201. [https://doi.org/10.1057/s11369-020-00189-x]
  • MSCI (2023), “U.S. Commercial Price Index Report,” MSCI, https://www.msci.com/documents/10199/cd4d7fbe-c9be-647e-2bdd-e4ffa26b9ecf, , retrieved August 2025.
  • MSCI (2025), “Market Classification,” MSCI, https://www.msci.com/indexes/index-resources/market-classification, , retrieved August 2025.
  • Ohrnberger, J.(2022), “Economic shocks, health, and social protection: The effect of COVID- 19 income shocks on health and mitigation through cash transfers in South Africa,” Health Economics, 31(11), pp.2481-2498. [https://doi.org/10.1002/hec.4592]
  • Park, E. J., Song, E., and Yun, G.(2023), “Experiences of chronic patients with the interruption of healthcare services in community health centers during the COVID-19 pandemic,” Health and Social Welfare Review, 43(3), pp.26-37.
  • Roth, J.(2022).“Pretest with caution: Event-study estimates after testing for parallel trends,” American Economic Review: Insights, 4(3), pp.305-322. [https://doi.org/10.1257/aeri.20210236]
  • Sun, L., and Abraham, S.(2021), “Estimating dynamic treatment effects in event studies with heterogeneous treatment effects,” Journal of econometrics, 225(2), pp.175-199. [https://doi.org/10.1016/j.jeconom.2020.09.006]
  • Van Nieuwerburgh, S.(2023), “The remote work revolution: Impact on real estate values and the urban environment: 2023 AREUEA Presidential Address,” Real Estate Economics, 51(1), pp.7-48. [https://doi.org/10.1111/1540-6229.12422]
  • Vandenberghe, V.(2019), “Alternatives to polynomial trend-corrected differences-in-differences models,” Applied Economics Letters, 26(5), pp.358-361. [https://doi.org/10.1080/13504851.2018.1478386]
  • Vonlanthen, J.(2023), “Interest rates and real estate prices: a panel study,” Swiss Journal of Economics and Statistics, 159(1), pp.6. [https://doi.org/10.1186/s41937-023-00111-0]

∙ 저자 문정훈은 현재 국민연금 기금운용본부 책임 리스크매니저로 재직 중이다. 삼성생명, 신한은행, NH투자증권, IBK투자증권 등에서 리스크 관리와 구조화․트레이딩 업무를 수행하며 채권, 파생상품, 대체투자 분야의 경험을 쌓았다. 학문적으로는 포스텍(포항공과대학교)에서 수학과 산업경영공학을 전공하고, 하버드대학교에서 통계학 석사를 취득하였으며, 전북대학교 박사과정에서 거시경제 변수와 자산수익률의 관계를 연구하고 있다. 주요연구분야는 자본시장 및 대체투자 리스크관리이다.

∙ 저자 한규식은 현재 전북대학교 경상대학 경영학과 교수로 재직 중이다. 포스텍(포항공과대학교) 산업경영공학과/수학과에서 공학사 및 이학사를, 포스텍 기계×산업공학부에서 금융공학전공으로 박사학위를 취득하였다. 현직 전 주요 경력으로는 KIS자산평가(前 KIS채권평가) 장외파생평가팀 선임연구원, IBK투자증권 리스크관리팀 리스크퀀트 등이 있다. 주요연구분야는 금융시계열, 파생상품 및 포트폴리오 최적화 등이다.