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House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo

Author

Listed:
  • Takaaki Ohnishi

    (Graduate School of Information Science and Technology, University of Tokyo)

  • Takayuki Mizuno

    (National Institute of Informatics)

  • Tsutomu Watanabe

    (Graduate School of Economics,University of Tokyo)

Abstract

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 upper 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, prices increase markedly for certain properties but to a much lesser extent for other properties, leading to an increase in price inequality across properties. 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.

Suggested Citation

  • Takaaki Ohnishi & Takayuki Mizuno & Tsutomu Watanabe, 2019. "House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo," Working Papers on Central Bank Communication 008, University of Tokyo, Graduate School of Economics.
  • Handle: RePEc:upd:utmpwp:008
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    Cited by:

    1. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2019. "Detecting stock market bubbles based on the cross-sectional dispersion of stock prices," CARF F-Series CARF-F-463, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    2. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2019. "Detecting stock market bubbles based on the cross-sectional dispersion of stock prices," Working Papers on Central Bank Communication 010, University of Tokyo, Graduate School of Economics.

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    More about this item

    Keywords

    housing bubbles; anomaly detection; lognormal distributions; power-law tail; hedonic models; market segmentation; submarkets;
    All these keywords.

    JEL classification:

    • R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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