In this paper, we investigate price exuberance episodes in the main UK commercial real estate sectors – retail, offices and industrials - over the period December 1986–April 2022. Using the Backward Supremum Augmented Dickey Fuller approach of Phillips et al. (2015a,b), we find that episodes of price explosiveness are asynchronous across sectors with only common phase being the period 2003–2007. We also conduct a multivariate probit analysis to identify factors that indicate the occurrence of price exuberance episodes and generate early signals for possible price bubble building. The predictors for price explosiveness differ by sector with more consistent signals obtained from the yield curve for retail and industrials, rent growth for offices and industrials, and inflation for retail and offices. A key implication of this study is that the study of price exuberance and bubbles in private real estate should be sector specific even within the same country.

We empirically evaluate how accounting and financial variables affect the level of systemic risk in traditional and shadow banks, and in real estate finance services in China over the period 2006–2019. We also conduct some stability analysis by evaluating the impact of crisis sub-periods. We find that systemic risk increases in the Size of large financial institutions, particularly shadow entities, while it is insensitive to the Size of real estate finance services. Real estate finance services are instead particularly sensitive to Maturity Mismatch and Leverage. Finally, systemic risk differs across state and non state owned banks.

We study how the characteristics of different financial institutions relate to systemic risk using the ΔCoVaR measure of Adrian and Brunnermeier (2016). We contrast traditional banks with shadow entities, such as Money Market Funds and Finance Services, using a sample of 476 European financial institutions between 2006 and 2015. We find that systemic risk increases significantly in the size of large financial institutions, particularly Money Market Funds, while it is insensitive to the size of Finance Services. We also find that Finance Services are particularly sensitive to proxies for market risk. For traditional banks, their reliance on short term wholesale funding is a key determinant of their contribution to systemic risk.