TY  - JOUR
A1  - Füss, Roland
A1  - Ruf, Daniel
T1  - Bank systemic risk exposure and office market interconnectedness
T2  - Journal of Banking & Finance
N2  - We empirically examine how systemic risk in the banking sector leads to correlated risk in office markets of global financial centers. In so doing, we compute an aggregated measure of systemic risk in financial centers as the cumulated expected capital shortfall of local financial institutions. Our identification strategy is based on a double counterfactual approach by comparing normal with financial distress periods as well as office with retail markets. We find that office market interconnectedness arises from systemic risk during financial turmoil periods. Office market performance in a financial center is affected by returns of systemically linked financial center office markets only during a systemic banking crisis. In contrast, there is no evidence of correlated risk during normal times and among the within-city counterfactual retail sector. The decline in office market returns during a banking crisis is larger in financial centers compared to non-financial centers.
KW  - Commercial real estate
KW  - Correlated risk
KW  - Financial center
KW  - Spatial econometrics
KW  - Systemic risk
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/78103
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-781032
SN  - 0378-4266
VL  - 133
IS  - 106311
PB  - Elsevier
CY  - Amsterdam
ER  -