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Abstract
Executive Summary.This paper examines private real estate market liquidity dynamics using the recently introduced family of Transactions-Based Indices (TBIs) calculated from the NCREIF database. The paper derives a Liquidity Index from a combination of the TBI Price Index and the TBI Supply Index. Liquidity in the private real estate market is shown to comprise more than the traditional bid-ask spread; it includes a term for the probability that eligible buyers and sellers meet. An econometric model calibrates the joint behavior of price and liquidity, and the price adjustment process is shown to be less smooth than the liquidity adjustment process.