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Land Prices and Fundamentals

Author

Listed:
  • Koji Nakamura

    (Bank of Japan)

  • Yumi Saita

    (Bank of Japan)

Abstract

This paper examines the long-term relationship between macro economic fundamentals and the weighted-average land price indicators, which are supposed to be more appropriate than the official land price indicators when analyzing their impacts on the macro economy. In many cases, we find the cointegrating relationships between the weighted-average land price indicators and the discounted present value of land calculated based on the macro economic fundamentals indicators. We also find that the demographic factor has impacts on real land prices. The error-correction analysis using the cointegrating relationships shows that not only the changes in the discounted present value of land, but also the changes in the demographic factor and bank lending have an influence on the fluctuations of real land prices. Based on the analysis, the recent change in the trend of land prices in Japan is explained by the increase in the discounted present values of land in the accommodative monetary environment, the convergence of the actual land prices to the long-term equilibrium level, and the changes in bank lending.

Suggested Citation

  • Koji Nakamura & Yumi Saita, 2007. "Land Prices and Fundamentals," Bank of Japan Working Paper Series 07-E-8, Bank of Japan.
    • Handle: RePEc:boj:bojwps:07-e-8
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    File URL: http://www.boj.or.jp/en/research/wps_rev/wps_2007/data/wp07e08.pdf
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    References listed on IDEAS

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    Cited by:

    1. Pablo A. Guerron-Quintana & Ryo Jinnai, 2013. "Liquidity, Trends and the Great Recession," UTokyo Price Project Working Paper Series 015, University of Tokyo, Graduate School of Economics.
    2. Xu, Hangtian, 2020. "Land Price Fluctuations, Commercial-Residential Segregation, and Gentrification," MPRA Paper 98844, University Library of Munich, Germany.
    3. Xu, Hangtian, 2019. "The burst of the real estate bubble as a promoter of gentrification in Tokyo and Osaka, 1980–2017," MPRA Paper 96803, University Library of Munich, Germany.
    4. Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe, 2014. "Aging and Real Estate Prices: Evidence from Japanese and US Regional Data," Working Papers e068, Tokyo Center for Economic Research.
    5. Hangtian Xu, 2023. "Commercial‐to‐residential land‐use conversion and residential recentralization in large cities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 306-338, February.
    6. Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe, 2013. "Aging and Real Estate Prices: Evidence from Japanese and US Regional Data," CARF F-Series CARF-F-334, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Saita, Yumi & Shimizu, Chihiro & Watanabe, Tsutomu, 2013. "Aging and Real Estate Prices: Evidence from Japanese and US Regional Data," HIT-REFINED Working Paper Series 2, Institute of Economic Research, Hitotsubashi University.

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    More about this item

    Keywords

    weighted-average land price indicators; discounted present value of land; cointegration analysis; error-correction model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other

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