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タイトル: Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices
著者: Ohnishi, Takaaki
Mizuno, Takayuki
Shimizu, Chihiro
Watanabe, Tsutomu
キーワード: JEL Classification Numbers: R10; C16
house price indexes
lognormal distributions
power-law distributions
fat tails
hedonic regression
housing bubbles
market segmentation
発行日: 2013年4月
出版者: UTokyo Price Project
掲載誌情報: JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series. No.006, 2013.4
関連URI: http://www.price.e.u-tokyo.ac.jp/researchdata/
抄録: We investigate the cross-sectional distribution of house prices in the Greater Tokyo Area for the period 1986 to 2009. We find that size-adjusted house prices follow a lognormal distribution except for the period of the housing bubble and its collapse in Tokyo, for which the price distribution has a substantially heavier right tail than that of a lognormal distribution. We also find that, during the bubble era, sharp price movements were concentrated in particular areas, and this spatial heterogeneity is the source of the fat upper tail. These findings suggest that, during a bubble period, prices go up prominently for particular properties, but not so much for other properties, and as a result, price inequality across properties increases. In other words, the defining property of real estate bubbles is not the rapid price hike itself but an increase in price dispersion. We argue that the shape of cross sectional house price distributions may contain information useful for the detection of housing bubbles.
内容記述: 2012~2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号:24223003)
URI: http://hdl.handle.net/2261/53613
出現カテゴリ:063 ワーキングペーパー
Working Paper Series / UTokyo Price Project

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