Predictability and Innovations in Office Market Performance

This paper examines office market performance at a city level in Britain. Markets in Birmingham, Edinburgh, Glasgow, Leeds, Manchester, the City of London and the West End (of London) are examined. The paper analyses the key determinants affecting office markets and compares similarities and differences in performance across these British cities. We analyse market adjustment and the timings of changes in property performance indicators and determine the degree of predictability in such changes. In addition, we also allow for information innovations to change the strength and timing of relationships. We use time series econometrics and test for stationarity and cointegration. We explore VAR methodology to test for Granger-causality and an error correction approach to permit examination of short run deviations from long run equilibrium. We also apply panel estimation when appropriate. The paper then discusses the interrelationships between office markets in different cities and the role that information innovations play in changes to those interrelationships.