House Prices and Rents in Tokyo - A Comparison of Repeat-sales and - - PowerPoint PPT Presentation

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page. 1 1

2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

House Prices and Rents in Tokyo

• A Comparison of Repeat-sales and Hedonic measures-

Chihiro Shimizu(Reitaku University) Kiyohiko.G.Nishimura(Bank of Japan) Tsutomu Watanabe(Hitotsubashi University)

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page. 2

2.2.Causality of House Price index between Major Cities.

0.0 50.0 100.0 150.0 200.0 250.0 300.0 1983/01 1983/09 1984/05 1985/01 1985/09 1986/05 1987/01 1987/09 1988/05 1989/01 1989/09 1990/05 1991/01 1991/09 1992/05 1993/01 1993/09 1994/05 1995/01 1995/09 1996/05 1997/01 1997/09 1998/05 1999/01 1999/09 2000/05 2001/01 2001/09 2002/05 2003/01 2003/09 2004/05 2005/01 2005/09 2006/05 2007/01 2007/09 2008/05 Tokyo_Condo Tokyo_SingleHouse LosAngeles NewYork London HongKong Melbourne

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Hedonic method and Repeat sales method

• The location, history and facilities of each house are different

from each other in varying degrees.

• Houses have “particularity with few equivalents.”
• Quality-Adjustment Methodology in House Price Index
• → Hedonic method and Repeat sales method

3

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Problems for the repeat sales method

• (i) there is sample selection bias (Clapp and Giaccotto 1992);
• (ii) the assumption that there are no changes in property

characteristics and their parameters during the transaction period is unrealistic (Case and Shiller,1987, 1989; Clapp and Giaccotto, 1992, 1998, 1999; Goodman and Thibodeau,1998; Case et al. 1991).

4

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Problems for the hedonic method

• (i) there is an omitted variable bias (Case and Quigley 1991;

Ekeland, Heckman and Nesheim 2004; Shimizu 2009);

• (ii) the assumption of no structural change is unrealistic

(Case et al. 1991; Clapp et al. 1991; Clapp and Giaccotto 1992, 1998; Shimizu and Nishimura 2006, 2007, Shimizu, Takatsuji, Ono, and Nishimura 2007).

5

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Contents of Our Research:

• 1. Introduction.
• 2. Five Measures of House Prices.
• 2.1. Traditional hedonic index.
• 2.2. Traditional repeat sales index.
• 2.3. Case-Shiller adjustment to repeat sales index.
• 2.4. Age-adjustment to repeat sales index.
• 2.5. Structural-change adjustment to hedonic index.
• 3. Data Properties.
• 4. Estimation Results.
• 5. Conclusion.

6

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

House Price Transaction Samples

7

Pi,t : property i, transaction time t, *Repeat Sales Samples

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Repeat Sales Method and Hedonic Method

• Traditional Hedonic Model（pooling data）
• House Price Index
• Traditional Repeat Sales Model（Bailey, Muth and Nourse1963

A.S.A.J; RSBMN）

• 1

1 1

1 1

ln

ht t hk K k k ht

X P ε δ δ β + + + = ∑

=

2 2 2

1 1

ln

ht t hk K k k ht

X P ε δ δ β + + + = ∑

=

8

( )

1 2 1 2 1 2

) / ln(

ht ht t t ht ht

P P ε ε δ δ − + − =

it s s s ikt K k k it

D X P ε δ β

τ

+ + =

∑ ∑

= = 1 1

ln

1 1

ˆ ˆ ) ˆ / ˆ ln(

− −

− =

t t t t P

P δ δ

arameter TimeDummyP

t :

ˆ δ

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Adjustment to Repeat Sales Index

• Case-Shiller adjustment:
• Case and Shiller (1987, 1989) have proposed a model in

which a GLS estimation is performed taking account of heteroscedasticity.

• Age-adjustment to repeat sales index:
• The number of years for which are houses in the market is

remarkably short(Average age is under 30years!), the depreciation problem is potentially significant in Japan.

• To take account of the age effect, we estimate Age-adjustment

to repeat sales index which indicates in section 2.4.

9

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Adjustment to Hedonic Index

• Structural-change adjustment to hedonic :
• We estimated hedonic model considering structural change

by Overlapping Period Hedonic Model; OPHM, proposed by Shimizu et.al(2007).

• OPHM may be more appropriate to estimate regression

coefficients on the basis of a process of successive changes by taking a certain length as the estimation “window”, by shifting this period in a way of rolling regressions, in essence similar to moving averages.

10

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

• 2. Data Properties.

11

Tokyo Special District: Area: 621.97 square kilo-meter Population: 8,742,995 Data source: Real estate advertisement magazine (1986-2008: 23 years) Condominium Price: 157,627 samples Single Family House Price: 315,791 samples Condominium Rent: 1,139,043 samples

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Table 2. Summary statistics of housing prices and rents.

12

Hedonic Repeat Sales Hedonic Repeat Sales Hedonic Repeat Sales 3,862.26 4,463.43 7,950.65 7,635.24 136,229.50 156,260.13 (3,190.83) (4284.10) (8275.04) (7055.96) (116,436) (122366.20) 58.31 59.54 102.53 105.82 40.54 44.97 (21.47) (24.09) (43.47) (45.60) (26.63) (26.84)

• 108.20

101.41

• (71.19)

(63.17)

• 166.82

180.20 162.19 63.79 134.09 105.35 (101.17) (101.35) (102.66) (99.39) (89.27) (80.86) 7.96 7.77 9.85 9.60 7.28 6.92 (4.43) (4.28) (4.54) (4.37) (4.03) (3.92) 12.58 10.73 13.23 11.89 10.20 9.28 (7.09) (6.88) (6.34) (6.18) (6.48) (6.28) 1986/01-2008/12 n=157,627 n=67,436 n=315,791 n=19,428 n=1,139,043 n=305,557 Condominium(Asset Price) Single Family(Asset Price) Condominium(Rent Price) Price of Condominium/Single Family (10,000 Yen) , Rent of Condominium(Yen/month) Age :Age of Building(months) TS : Time to the nearest station: (minutes) TT : Travel Time to Central Business District (minutes) Variables FS : Floor space (㎡) GA : Ground Area (㎡)

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

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4 Estimation Results Table 3: Results of hedonic regressions

Estimation Method OLS Dependent Variable Lo

13

garithm of Price or Rent per ㎡ coefficient t-value coefficient t-value coefficient t-value Constant 4.470 358.778 4.615 378.620 8.951 826.498 FS : Floor space (㎡) 0.029 25.340 0.002 125.046

• 0.191
• 762.560

GA : Ground Area (㎡)

• 0.002
• 213.860
• Age :Age of

Building(months)

• 0.186
• 351.585
• 0.011
• 190.559
• 0.037
• 466.013

TS : Time to the nearest station: (minutes)

• 0.069
• 92.747
• 0.013
• 137.989
• 0.052
• 230.110

Bus:Bus Dummy

• 0.137
• 6.603
• 0.198
• 24.595
• 0.010
• 3.350

Bus×TS 0.007 0.815 0.002 4.300 0.018 13.690 TT : Travel Time to Central Business District

• 0.068
• 68.028
• 0.009
• 114.091
• 0.077
• 261.313

Top:Top of Building 0.022 5.390

• BeforeConstruction

Standard

• 0.090
• 80.770
• 0.122
• 256.050

Steel Dummy 0.010 10.650

• 0.082

200.050 Balcony Area 0.022 32.950

• Road Width
• 0.207

154.500

• Private Road
• 0.003
• 9.840
• Land only Dummy
• 0.109
• 63.180
• Old house
• 0.086
• 36.020
• New Construction
• 0.121
• 69.330
• 1986/01-2008/12

Adjusted R-square= 0.876 0.861 0.895

Independent Variables Variables Condominium(Price) Single Family(Price) Condominium(Rent)

n=157,627 n=315,791 n=1,139,043

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

• Figure1a. Traditional hedonic vs. Traditional Repeat Sales

(Condominium price)

0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

• 40
• 20

20 40 60 80 100 Standard Hedonic Traditional RepeatSales Standard Hedonic Traditional RepeatSales

Index:1989.04=1.0 Appreciation Rate:%

14

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

• Figure1b. Traditional hedonic vs. Traditional Repeat Sales

(Single family house price)

15

0.2 0.4 0.6 0.8 1 1.2 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

• 40
• 20

20 40 60 80 100 120 Standard Hedonic Traditional RepeatSales Standard Hedonic Traditional RepeatSales

Index:1989.04=1.0 Appreciation Rate:%

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

• Figure1c. Traditional hedonic vs. Traditional Repeat Sales

(Condominium rent)

16 0.8 0.9 1 1.1 1.2 1.3 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

• 10
• 5

5 10 15 20 Standard Hedonic Traditional RepeatSales Standard Hedonic Traditional RepeatSales

Index:1989.04=1.0 Appreciation Rate:%

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Table 4: Age adjustment to repeat sales measure

17

θ λ Condominium Price coef.

• 0.0272

0.8944 s.e. 0.0015 0.0113 P-value [.000] [.000] Single Family coef.

• 0.0093

1.1041 s.e. 0.0031 0.0269 P-value [.003] [.000]

We cannot get the maximum value for the condominium rent data.

standard error

• f reg.

adjusted R- square S.B.I.C Traditional_RS 0.1752 0.7494

• 20896.9

Case&Shiller dj 0.1914 0.7587

• 13583.5

Age-adjustment 0.0075

• 28817.2

Traditional_RS 0.2115 0.4756

• 2755.8

Case&Shiller dj 0.2190 0.5093

• 1783.2

Age-adjustment 0.0244

• 3574.8

Traditional_RS 0.0627 0.1385

• 190929.0

Case&Shiller 0.0684 0.1454

• 176623.0

Age-adjustment

• (Condominium Rent)

(Single Family House Price) (Condominium Price)

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Figure2a.Case&Shiller adjustment vs. Age adjustment Repeat Sales (Condominium price)

18

0.2 0.4 0.6 0.8 1 1.2 1.4 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

Standard Repeat Sales Case&Shiller adjustment RS Age adjustment RS

Index:1989.04=1.0

Standard Repeat Sales Case&Shiller adjustment RS Age adjustment RS

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Figure2b.Case&Shiller adjustment vs. Age adjustment Repeat Sales (Single family house price)

19

0.2 0.4 0.6 0.8 1 1.2 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

Standard Repeat Sales Case&Shiller adjustment RS Age adjustment RS

Index:1989.04=1.0

Standard Repeat Sales Case&Shiller adjustment RS Age adjustment RS

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Figure2c.Case&Shiller adjustment (Condominium rent)

20

0.8 0.85 0.9 0.95 1 1.05 1.1 1.15 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

Standard Repeat Sales Case&Shiller adjustment RS

Index:1989.04=1.0

Standard Repeat Sales Case&Shiller adjustment RS

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Table 5: Hedonic estimates of key parameters

21

Constant FS : Floor space Age :Age of Building TS : Time to the nearest station: TT : Travel Time to Central Business District Condonimium Price Standard Hedonic model 4.470 0.029

• 0.186
• 0.069
• 0.068

12-months rolling regression Average 4.852 0.047

• 0.182
• 0.072
• 0.072

Standard Deviation 0.629 0.078 0.029 0.010 0.031 Minimum 4.193

• 0.124
• 0.237
• 0.098
• 0.130

Maximum 6.171 0.133

• 0.108
• 0.050
• 0.022

Single Family Price Standard Hedonic model 4.615 0.002

• 0.011
• 0.013
• 0.009

12-months rolling regression Average 4.912 0.002

• 0.012
• 0.013
• 0.009

Standard Deviation 0.261 0.001 0.001 0.002 0.002 Minimum 4.596 0.0006004

• 0.015
• 0.019
• 0.012

Maximum 5.425 0.0032335

• 0.009
• 0.009
• 0.004

Condonimium Rent Standard Hedonic model 8.951

• 0.191
• 0.037
• 0.052
• 0.077

12-months rolling regression Average 9.132

• 0.178
• 0.042
• 0.059
• 0.081

Standard Deviation 0.117 0.037 0.015 0.016 0.014 Minimum 8.884

• 0.224
• 0.071
• 0.090
• 0.111

Maximum 9.312

• 0.092
• 0.018
• 0.028
• 0.054

number of models= 265

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

• Figure3a. Traditional hedonic vs. 12-months rolling regression

(OPHM): Condominium price

22

0.4 0.6 0.8 1 1.2 1.4 1.6 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

Standard Hedonic 12-months rolling regression

Index:1989.04=1.0

Standard Hedonic 12-months rolling regression

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

• Figure3b. Traditional hedonic vs. 12-months rolling regression

(OPHM): Single family house price

23

0.2 0.4 0.6 0.8 1 1.2 1.4 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

Standard Hedonic 12-months rolling regression

Index:1989.04=1.0

Standard Hedonic 12-months rolling regression

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

• Figure3c. Traditional hedonic vs. 12-months rolling regression

(OPHM): Condominium rent

24

0.8 0.9 1 1.1 1.2 1.3 198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

Standard Hedonic 12-months rolling regression

Index:1989.04=1.0

Standard Hedonic 12-months rolling regression

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

4.4 How much can the difference be reconciled?

25

• 0.10
• 0.08
• 0.06
• 0.04
• 0.02

0.00 0.02 0.04 0.06 0.08 0.10

• 0.10
• 0.08
• 0.06
• 0.04
• 0.02

0.00 0.02 0.04 0.06 0.08 0.10

Case-Shiller vs. Traditional repeat sales

• 0.10
• 0.08
• 0.06
• 0.04
• 0.02

0.00 0.02 0.04 0.06 0.08 0.10

• 0.10
• 0.08
• 0.06
• 0.04
• 0.02

0.00 0.02 0.04 0.06 0.08 0.10

Traditional hedonic vs. Traditional repeat sales

• 0.10
• 0.08
• 0.06
• 0.04
• 0.02

0.00 0.02 0.04 0.06 0.08 0.10

• 0.10
• 0.08
• 0.06
• 0.04
• 0.02

0.00 0.02 0.04 0.06 0.08 0.10

Age-adjusted repeat sales vs. Traditional repeat sales

• 0.10
• 0.08
• 0.06
• 0.04
• 0.02

0.00 0.02 0.04 0.06 0.08 0.10

• 0.10
• 0.08
• 0.06
• 0.04
• 0.02

0.00 0.02 0.04 0.06 0.08 0.10

Rolling hedonic vs. Traditional repeat sales

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Table 6: Pairwise Granger-causality tests

26

Condominium

Standard repeat sales Case-Shiller repeat sales Age-adjusted Repeat sales Standard hedonic Rolling hedonic Standard repeat sales 0.0120 0.0019 0.0037 0.0000 Case-Shiller RS 0.2018 n.a. 0.0411 0.0000 Age-adjusted RS 0.0568 n.a. 0.1067 0.0000

Standard hedonic

0.0005 0.0001 0.0000 0.0000

Rolling hedonic

0.0067 0.0095 0.0025 0.2209

Singlefamily house

Standard repeat sales Case-Shiller repeat sales Age-adjusted Repeat sales Standard hedonic Rolling hedonic Standard repeat sales 0.2726 0.4345 0.2119 0.0040 Case-Shiller RS 0.2397 n.a. 0.1714 0.0098 Age-adjusted RS 0.3275 n.a. 0.1622 0.0078

Standard hedonic

0.0028 0.0025 0.0023 0.0018

Rolling hedonic

0.0705 0.0642 0.0709 0.1642 Note: The number in each cell represents the p-value associated with the null hypothesis that the variable on the column does not Granger-cause the variable on the row. Cells shaded by blue color indicate that the p-value is smaller than 0.01, and thus the null hypothesis is rejected.

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Figure 5: When did the condominium price hit bottom?

27

‐0.16 ‐0.14 ‐0.12 ‐0.10 ‐0.08 ‐0.06 ‐0.04 ‐0.02 0.00 0.02 0.04 199701 199801 199901 200001 200101 200201 200301 200401 200501 200601 200701 200801

Standard repeat sales Case‐Shiller Age‐adjusted RS Hedonic Rolling hedonic

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

5.Conclusions:

• Which one performs better, the repeat-sales measure
• r the hedonic measure?
• We find that there remains a substantial discrepancy between the

repeat sales measure and the hedonic measure, even though we have made various adjustments to both indexes.

• Especially, we find a substantial discrepancy in terms of turning

points: the repeat sales measure tends to exhibit a delayed turn compared with the hedonic measure. – For example, the hedonic measure of condominium prices hit bottom at the beginning of 2002, while the corresponding repeat-sales measure exhibits reversal only in the spring of 2004. – The lead-lag relationships between the two indices may come from the omitted variable problem in the hedonic measure and/or the problem of non-random sampling in the repeat sales measure.

28

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27

• page. 29

2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

House Price and House Rent in Tokyo

• Additional version-

Chihiro Shimizu(Reitaku University) Kiyohiko.G.Nishimura(Bank of Japan) Tsutomu Watanabe(Hitotsubashi University)

30

1.Data- RECRUIT Data Base-週刊住宅情報-

“Housing Information Weekly”

Recruit Co. Ltd Major real estate agent companies Landlords

reported

First Week Last listed Successful Sale

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Time Line of Housing Data

31

House purchasing p r ocess Englan d 1.B eg in sear ch 2.Verbal off er 10 weks 3.Mortgage approved 4.E xchange of contr acts 4weks 5.T ransaction completed 6.T ransaction registered Rightmo ve Halif ax ,Nation wide,Ho metrack DLCG(ODPM)index L and registr y Other Countries RRPI ( JPN) S&P Case&Shiller Home Price I ndex ( USA) R esiden tial Price Index Fo r um(JPN) Tokyo Metropolitan Housing Price Index:R EINS(JPN) 4weks 4weks 4weks OFHEO Home Price I ndex ( USA) The University of Hong Kong Real Estate Index Series(Hong Kon g )

Source : BOE(2003)

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

2.Hedonic Models; Structurally restricted hedonic housing price index: RHI

it s s s ikt K k k it

D X P ε δ β

τ

+ + =

∑ ∑

= = 1 1

ln

32

x y t0 t2 t3 t1 t0 t2 t3 Price Index

1

ˆ a

3

ˆ a

2

ˆ a t1

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Structurally unrestricted hedonic housing price index

• it

t kit K k kt it

X P ε δ β + + = ∑

=1

ln

) ˆ ˆ ( ) ˆ ˆ ( ) ˆ / ˆ ln(

1 1 1 , 1 − = − −

− + − = ∑

t t k K k t k kt t t

X P P δ δ β β

33

x y t0 t2 t3 t1 t0 t2 t3 Price Index

1

c

3

c

2

c t1

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Estimation accuracy of the URHM

500 1,000 1,500 2,000

198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606

0.6 0.65 0.7 0.75 0.8 0.85 0.9

Number of observations adjusted R square

34

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Time profile of regression coefficient of the URHM, Floor Space

35

• 0.2
• 0.15
• 0.1
• 0.05

0.05 0.1 0.15 0.2

1986/06 1986/12 1987/06 1987/12 1988/06 1988/12 1989/06 1989/12 1990/06 1990/12 1991/06 1991/12 1992/06 1992/12 1993/06 1993/12 1994/06 1994/12 1995/06 1995/12 1996/06 1996/12 1997/06 1997/12 1998/06 1998/12 1999/06 1999/12 2000/06 2000/12 2001/06 2001/12 2002/06 2002/12 2003/06 2003/12 2004/06 2004/12 2005/06 2005/12 2006/06

NRHI RHI

Coefficient

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page. 36

Time profile of regression coefficient of the URHM, age of building

• 0.3
• 0.25
• 0.2
• 0.15
• 0.1
• 0.05

198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606

NRHI RHI

Coefficient

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Overlapping Period Hedonic Method :Rolling Regression

it s s s ikt K k k it

D X P ε δ β

τ

+ + =

∑ ∑

= = 1 1

ln

37

OPHM is obtained by applying the above restricted hedonic model to periods [1, τ], [2, τ + 1], …, [r, r + τ − 1], …,[T − τ + 1, T] successively.

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Changing in time of OPHM coefficient : Floor Space

38

• 0.14
• 0.12
• 0.1
• 0.08
• 0.06
• 0.04
• 0.02

0.02 0.04 0.06 0.08 0.1 0.12 1987/05 1987/11 1988/05 1988/11 1989/05 1989/11 1990/05 1990/11 1991/05 1991/11 1992/05 1992/11 1993/05 1993/11 1994/05 1994/11 1995/05 1995/11 1996/05 1996/11 1997/05 1997/11 1998/05 1998/11 1999/05 1999/11 2000/05 2000/11 2001/05 2001/11 2002/05 2002/11 2003/05 2003/11 2004/05 2004/11 2005/05 2005/11 2006/05 12months 24months 36months

Coefficient

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

RHI,URHI and OPHM12 in Condominium Price

39 0.5 1 1.5 2 2.5 3

1986/06 1986/12 1987/06 1987/12 1988/06 1988/12 1989/06 1989/12 1990/06 1990/12 1991/06 1991/12 1992/06 1992/12 1993/06 1993/12 1994/06 1994/12 1995/06 1995/12 1996/06 1996/12 1997/06 1997/12 1998/06 1998/12 1999/06 1999/12 2000/06 2000/12 2001/06 2001/12 2002/06 2002/12 2003/06 2003/12 2004/06 2004/12 2005/06 2005/12 2006/06

Ristrict N-Ristrict OPHM12

Index:2000.01=1.0

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

3.Ommited variables bias; in Shimizu(2009).

40

ε

∑ ∑ ∑ ∑ ∑ ∑ ∑

+ + + + + + + + + + =

m h m h m h m m m l l l k k k j j j i i i h h h

v a u a V X a V a TD a RD a LD a Z a X a a GA DP

, 9 8 , 7 6 5 4 3 2 1

log / log ・ ・ ・ ・

Vn :Neighborhood Effect Variables V1 : FR / Floor Area Ratio/FAR per 500m mesh V2 : LR / Lot Area Ratio/LAR per 500m mesh V3 : ZD / Zoning Dummy V4 : LU / Land Use Condition per 500m mesh V5 : HC / Household Characteristics per 500m mesh V6 : NOi / Noise per property u,v :Longitude,latitude

In UK , Nationwide uses ACORN Classification

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Considering Neighborhood Effects in Hedonic Model

• Hedonic estimates of Single family house price:
• Road Width:
• Simple Model (0.017) / Expanded Model (0.010);
• Time to nearest stations:
• Simple Model (-0.009) / Expanded Model (-0.007);
• Bus dummy:
• Simple Model (-0.141) / Expanded Model (-0.134);
• Time to terminal station:
• Simple Model (-0.011) / Expanded Model (-0.007); and
• Age of building:
• Simple Model (-0.011) / Expanded Model (-0.009).

41

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

• 4. Age Effect in Japan; in Shimizu, Nishimura and Karato(2007).

42

0.5 0.6 0.7 0.8 0.9 1

5 10 15 20 25 30

BaseModel DmM SWR

Index:First Age=1 Age of Building(Year)

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

5.Why is Age effect of Condominium bigger than that of single family house price?

43

Condominium Land Value Land Value Building Value Building Value Depreciation Single Family House

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

5.Why is Age effect of Condominium bigger than that of single family house price?

44

Tokyo Metropolitan Area

Land Value Land Value Building Value Building Value

Tokyo Special District

Depreciation

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Single Family House Price Index : Tokyo Metro

45

0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 1.1

198606 198612 198706 198712 198806 198812 198906 198912 199006 199012 199106 199112 199206 199212 199306 199312 199406 199412 199506 199512 199606 199612 199706 199712 199806 199812 199906 199912 200006 200012 200106 200112 200206 200212 200306 200312 200406 200412 200506 200512 200606 200612 200706 200712 200806 200812

Hedonic TraditionalRepeatSales

Index: 1991.01=1.0

Hedonic TraditionalRepeatSales

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

6.House Price and House Rent: Comparison House Price and CPI-house in Tokyo

46

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5

198601 198607 198701 198707 198801 198807 198901 198907 199001 199007 199101 199107 199201 199207 199301 199307 199401 199407 199501 199507 199601 199607 199701 199707 199801 199807 199901 199907 200001 200007 200101 200107 200201 200207 200301 200307 200401 200407 200501 200507 200601 200607 200701 200707 200801 200807

Tokyo_Condo Tokyo_SingleHouse Tokyo_SingleHouse_Rent Tokyo_CPI

CPI Rent=New contract rent +New Rollover contract rent +Imputed Rent New Rent Hedonic Index

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27

• page. 47

0.5 0.6 0.7 0.8 0.9 1.0

• 0.49
• 0.44
• 0.39
• 0.34
• 0.29
• 0.24
• 0.19
• 0.14
• 0.09
• 0.04

0.01 0.06 0.11 0.16 0.21 0.26 0.31 0.36 0.41 0.46 Pr(dR≠0|I^N=1,x)

price imbalance x

Adjustment Hazard Function for Turnover Units

Shimizu, C.,K.G.Nishimura and T.Watanabe (2009), “Residential Rents and Price Rigidity: Micro Structure and Macro Consequences”, in this conference.

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Adjustment Hazard Function for Rollover Units

48

0.00 0.04 0.08 0.12 0.16 0.20

• 0.41
• 0.36
• 0.31
• 0.25
• 0.20
• 0.15
• 0.09
• 0.04

0.01 0.07 0.12 0.17 0.23 0.28 0.33 0.39 Pr(dR≠0|I^R=1,x) price imbalance x

House Price and House Rent in Tokyo 2009 Ottawa Group Meeting in Neuchâtel, Switzerland, 27-29 May 2009

2009/05/27 page.

Re-estimates of CPI Inflation

49

‐0.03 ‐0.02 ‐0.01 0.01 0.02 0.03 0.04 0.05 QT1987/1 QT1989/1 QT1991/1 QT1993/1 QT1995/1 QT1997/1 QT1999/1 QT2001/1 QT2003/1 QT2005/1 New CPI Real CPI

Diewert, W. Erwin and Alice O. Nakamura (2008), “Accounting for Housing in a CPI,” Price and Productivity Measurement, Volume 1: Housing, Chapter 2, pp.13-48.