Knowing to what extent a country's macroeconomic factors influence the liquidity of the indirect real estate market and thus the liquidity of REITs is of crucial importance for investors in this market field. According to numerous studies in the U.S. and UK, macroeconomic factors have been shown to have a significant impact on real estate market valuations. In Germany, however, such studies still see potential. This study therefore contributes to clarify the research question whether macroeconomic effects on the liquidity of REITs can also be observed in Germany. The liquidity of the real estate market can be subdivided into the two concepts of funding liquidity and market liquidity. The focus of this study is to investigate the impact on the funding liquidity of REITs in Germany. Therefore, the first step is an investigation of near-term and lagged effects as well as effects of selected macroeconomic factors on funding liquidity in different economic phases. However, since the results of previous research demonstrate a dependence of the two liquidity concepts, the effects of funding liquidity on market liquidity as well as market liquidity risk are also examined. The study was based on the hypotheses of Glascock and Lu-Andrews (2013), who examined the impact of macroeconomic effects on the liquidity of REITs in the United States. Specifically, funding liquidity is influenced by changes in macroeconomic factors and this influence varies in different economic cycles. Moreover, funding liquidity is significantly positively related to the liquidity of the REIT market and its effects vary in different economic cycles. In this work, the debt service coverage ratio (DSCR) and loan-to-value ratio (LTV) were chosen as liquidity proxies for funding liquidity, and the Amihud illiquidity measure (Amihud ILLIQ) and the turnover ratio measure (TO) were chosen as liquidity proxies for market liquidity. The results of a multiple linear regression in the form of a time series analysis of selected macroeconomic factors on the DSCR and LTV ratios of German REITs and listed real estate companies have shown a significant impact. An influence of funding liquidity on the Amihud ILLIQ and TO could also be observed in the regression. Thus, the assertions of Glascock and Lu-Andrews regarding the impact of macroeconomic effects and the correlation of the two liquidity concepts have been confirmed for the German market. In view of the results of this paper, it can be concluded that funding liquidity is significantly related to REIT market liquidity. However, despite the unconventional monetary policy measures introduced by the ECB to generate stability within the Eurosystem, funding liquidity does not seem to have a major impact on market liquidity in times of recession. Moreover, considering the recent international events and the economic distress generated by the Sars-CoV-2 pandemic, it could be observed in the analysis that in the period of recession the REIT market, as well as the real estate market in general, have maintained their liquidity.      «

Knowing to what extent a country's macroeconomic factors influence the liquidity of the indirect real estate market and thus the liquidity of REITs is of crucial importance for investors in this market field. According to numerous studies in the U.S. and UK, macroeconomic factors have been shown to have a significant impact on real estate market valuations. In Germany, however, such studies still see potential. This study therefore contributes to clarify the research question whether macroeconom...     »