Abstract

This article presents a systematic literature review of the determinants of commercial real estate loan credit spreads from 1989 to 2019. The motivation for this analysis is twofold. First, credit spread models receive little attention in commercial real estate, since research mainly focuses on the drivers of housing credit spreads. Second, data availability in the commercial real estate loan sector is still scarce and the data often mixed with other asset or loan types, such as commercial mortgage-backed securities and their related determinants. We synthesize the literature into four dimensions: property and loan characteristics, macroeconomic aspects, and counterparty characteristics. Using an open coding process, the literature is thoroughly analyzed in 10 subcategories. The results disclose that the main determinants are property and loan characteristics, which impact the reliability and riskiness of cash flow and interest and debt service. Since researchers focus primarily on credit risk determinants, counterparty characteristics have lately gained more attention as credit spread determinants, which deserves additional empirical research. Furthermore, we observe that endogeneity issues have become more prevalent, despite difficulties in finding the best treatment and different impacts.

摘要

本文对 1989 年至 2019 年商业房地产贷款信用利差的决定因素进行了系统的文献回顾。进行此分析的动机是双重的。首先，信用利差模型在商业房地产中很少受到关注，因为研究主要集中在住房信用利差的驱动因素上。其次，商业房地产贷款领域的数据仍然很少，而且数据经常与其他资产或贷款类型混合，例如商业抵押贷款支持证券及其相关决定因素。我们将文献综合为四个维度：财产和贷款特征、宏观经济方面和交易对手特征。使用开放编码过程，对文献进行了 10 个子类别的彻底分析。结果表明，主要决定因素是财产和贷款特征，它们影响现金流和利息和偿债的可靠性和风险。由于研究人员主要关注信用风险的决定因素，交易对手特征最近作为信用利差的决定因素受到了更多关注，这值得进行额外的实证研究。此外，我们观察到内生性问题变得更加普遍，尽管很难找到最佳治疗方法和不同的影响。