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Equilibrium Land Prices of Japanese Prefectures: A Panel Cointegration Analysis

Author

Listed:
  • Takashi Nagahata

    (Bank of Japan)

  • Yumi Saita

    (Bank of Japan)

  • Toshitaka Sekine

    (Bank of Japan)

  • Towa Tachibana

    (Kobe University)

Abstract

Based on newly constructed prefectural land price data, we estimate long-run equilibrium relationships using a panel cointegration analysis, and then estimate an error-correction model (ECM) for land prices. The panel cointegration analysis reveals that the PVR cum price expectation can be regarded as a long-run equilibrium relationship. The ECM finds that deviations from the long-run equilibrium and non-performing loans in particular have sizable effects on land prices. Moreover, recent regional discrepancies in land prices are closely related to deviations from the long-run equilibrium.

Suggested Citation

  • Takashi Nagahata & Yumi Saita & Toshitaka Sekine & Towa Tachibana, 2004. "Equilibrium Land Prices of Japanese Prefectures: A Panel Cointegration Analysis," Bank of Japan Working Paper Series 04-E-9, Bank of Japan.
  • Handle: RePEc:boj:bojwps:04-e-9
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    File URL: http://www.boj.or.jp/en/research/wps_rev/wps_2004/data/wp04e09.pdf
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    References listed on IDEAS

    as
    1. Malpezzi, Stephen, 1999. "A Simple Error Correction Model of House Prices," Journal of Housing Economics, Elsevier, vol. 8(1), pages 27-62, March.
    2. Herwartz, Helmut & Reimers, Hans-Eggert, 2002. "Testing the purchasing power parity in pooled systems of error correction models," Japan and the World Economy, Elsevier, vol. 14(1), pages 45-62, January.
    3. Sekine, Toshitaka & Kobayashi, Keiichiro & Saita, Yumi, 2003. "Forbearance Lending: The Case of Japanese Firms," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(2), pages 69-92, August.
    4. Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
    5. Maddala,G. S. & Kim,In-Moo, 1999. "Unit Roots, Cointegration, and Structural Change," Cambridge Books, Cambridge University Press, number 9780521587822.
    6. Clayton, Jim, 1997. "Are Housing Price Cycles Driven by Irrational Expectations?," The Journal of Real Estate Finance and Economics, Springer, vol. 14(3), pages 341-363, May.
    7. Meese Richard & Wallace Nancy, 1994. "Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco?," Journal of Urban Economics, Elsevier, vol. 35(3), pages 245-266, May.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Koji Nakamura & Yumi Saita, 2007. "Land Prices and Fundamentals," Bank of Japan Working Paper Series 07-E-8, Bank of Japan.
    2. Koichiro Kamada & Wataru Hirata & Hajime Wago, 2007. "Determinants of Land-Price Movements in Japan," Bank of Japan Working Paper Series 07-E-7, Bank of Japan.
    3. repec:kap:iaecre:v:14:y:2008:i:4:p:407-421 is not listed on IDEAS

    More about this item

    Keywords

    land price; present value relation; panel cointegration;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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