The Analysis on the fluctatons of land prices in the residential and cmmercial districts, using VAR model

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概要

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• This paper adds an error correction term to VAR model, using Granger's representaion theorem, to investigate the possibilities that the macro economic variables have short term and long term effects on land prices, and that these variables are in mutually dependent relationships. The land prices in the commercial district and the residential district are estimated individually. The estimated models are statistically examined using Dickey-Fuller test and Johansen's likelihood ratio test. A notable feature of this paper is that it puts "zero" value restrictions on a part of coefficient matrix. The results of the analyses show that the land prices of the commercial district and the residential district are both affected by the corporate profits, the money supply, and the interest rate in the long run equilibrium.

• Association of Urban Housing Sciencesの論文

著者

• 石山 邦子

  (財) 日本不動産研究所研究部

関連論文

• The Analysis on the fluctatons of land prices in the residential and cmmercial districts, using VAR model

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