Transaction-Based Land Price Indices for Commercial and Office Land during the Bubble Economy in Japan

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This study discusses the actual time-series pattern in commercial and office land prices during a bubble period in Tokyo Central Business District in the late 1980's to early 1990's, a period described as Japanese bubble. A varying-parameter approach, which allows the implicit prices to vary intertemporally in relation to the attributes, is employed for constructing a transaction-based price index. Forward extensions of a conventional hedonic index require that parameters of a hedonic model are newly estimated at every extension, using a new data set in which the latest available transaction information is added into an existing data set. These extensions imply that the existing values of the index might vary because hedonic estimators, especially those of time dummy variables, can change. Moreover, a price index that keeps the implicit prices fixed may be biased since implicit prices can be unstable when land values fluctuate sharply as in a bubble period. This study is, therefore, an examination of the reliability of indices based on respective approaches and an investigation of the movement of implicit prices over a specific time period. Transaction-based price indices within the Tokyo CBD are developed for the period from 1981 to 1992. It is shown that the bubble began to form in early 1984 and that the initial collapse began in 1989. Both of these dates are much earlier than the times observed in the appraisal land price index. Furthermore, our results indicate that implicit prices vary over time and provide evidence of the usefulness and reliability of the varying parameter approach when a market is experiencing the effects of a bubble economy.
香川大学の論文
2003-12-01

著者

山村能郎
香川大学経済学部

Transaction-Based Land Price Indices for Commercial and Office Land during the Bubble Economy in Japan

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