Diewert / Nishimura / Shimizu Property Price Index

Theory and Practice
1. Auflage 2020
ISBN: 978-4-431-55942-9
Verlag: Springer Tokyo
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 11, 368 Seiten, eBook

Reihe: Advances in Japanese Business and Economics

This book answers the question of how exactly property price indexes should be constructed.

The formation and collapse of property bubbles has had a profound impact on the economic administration of many nations. The property price bubble that began around the mid-1980s in Japan has been called the 20th century's biggest bubble. In its aftermath, the country faced a period of long-term economic stagnation dubbed the "lost decade." Sweden and the United States have also faced collapses of property bubbles in the 20th and early 21st centuries, respectively.

It has been pointed out that the "information gap" that existed between policy-making authorities and the property (including housing) and financial markets was a problem. In 2009, the IMF proposed the creation of a housing price index to the G20 in order to fill this information gap, and the proposal was adopted. Furthermore, in 2011, it was suggested that the next economic crisis would be caused by a bubble in commercial property prices, and it was decided to create a commercial property index as well.

This book provides practical examples of how the theory of property price indexes can be applied to the issues of property as a non-homogenous good and a technological and environmental change. 

Zielgruppe

Research

Autoren/Hrsg.

Diewert, W. Erwin

Nishimura, Kiyohiko G.

Shimizu, Chihiro

Watanabe, Tsutomu

Inhaltsverzeichnis

1;Preface;6
2;Contents;8
3;About the Authors;13
4;Part I Index Theory for Property Price Indexes;16
5;1 International Policy Discussion in Property Price Indices;17
5.1;1.1 Introduction;17
5.2;1.2 What Are Appropriate Target Indexes?;18
5.3;1.3 The Failure of the Traditional Matched Model Methodology in the Real Estate Context;21
5.4;1.4 Suggested Methods for Constructing Constant Quality Real Estate Price Indexes;22
5.4.1;1.4.1 The Repeat Sales Method;22
5.4.2;1.4.2 The Use of Assessment Information;24
5.4.3;1.4.3 Stratification Methods;32
5.4.4;1.4.4 Hedonic Methods;34
5.5;1.5 Other Technical Issues;36
5.5.1;1.5.1 The Decomposition of Real Estate Values into Land and Structure Components;36
5.5.2;1.5.2 Weighting and Formula Issues;38
5.5.3;1.5.3 The Frequency Issue and the Consistency of Quarterly with Annual Estimates;39
5.5.4;1.5.4 Revision Policies;39
5.5.5;1.5.5 The Renovations Versus Depreciation Problem;40
5.6;1.6 User Costs Versus Rental Equivalence;41
5.7;1.7 Summary and Conclusion;44
5.8;References;45
6;2 Theoretical Background of Hedonic Measure and Repeat Sales Measure-Survey-;49
6.1;2.1 Introduction;49
6.2;2.2 The Hedonic Price Method;50
6.2.1;2.2.1 The Hedonic Approach;50
6.2.2;2.2.2 Hedonic Approach Theory;51
6.2.3;2.2.3 Hedonic Market Price Function Estimation;54
6.2.4;2.2.4 Price Index Estimation Based on the Hedonic Approach;57
6.2.5;2.2.5 Hedonic Production Price Index Measurement and Quality Adjustment;64
6.2.6;2.2.6 Characteristics, Advantages, and Disadvantages of the Hedonic Method;68
6.3;2.3 Repeat Sales Method;70
6.3.1;2.3.1 Standard Repeat Sales Price Index;70
6.3.2;2.3.2 Random Walk Error Term;72
6.3.3;2.3.3 Aggregation Bias;75
6.3.4;2.3.4 Sample Selection Bias;80
6.3.5;2.3.5 Characteristics, Advantages, and Disadvantages of Repeat Sales Indexes;84
6.4;2.4 Price Indexes Based on Property Appraisal Prices;85
6.4.1;2.4.1 Property Appraisal Price Indexes;85
6.4.2;2.4.2 Hedonic Method Based on Pooling of Property Appraisal Prices And Transaction Prices;86
6.4.3;2.4.3 The SPAR Method;87
6.4.4;2.4.4 Characteristics, Advantages, and Disadvantages of Property Appraisal Price Indexes;88
6.5;2.5 Summary and Conclusion;89
6.6;References;90
7;Part II Empirical Studies for Property Price Indexes;93
8;3 A Comparison of Alternative Approaches to Measuring House Price Inflation;94
8.1;3.1 Introduction;94
8.2;3.2 Stratification Methods;96
8.3;3.3 Rolling Year Indexes and Seasonality;102
8.4;3.4 Time Dummy Hedonic Regression Models Using the Logarithm of Price as the Dependent Variable;105
8.5;3.5 Time Dummy Hedonic Regression Models Using Price as the Dependent Variable;110
8.6;3.6 Hedonic Imputation Regression Models;113
8.7;3.7 The Construction of Land and Structures Price Indexes: Preliminary Approaches;116
8.8;3.8 The Construction of Land and Structures Price Indexes: Approaches Based on Monotonicity Restrictions;122
8.9;3.9 The Construction of Land and Structures Price Indexes: An Approach Based on the Use of Exogenous Information on the Price of Structures;124
8.10;3.10 Rolling Window Hedonic Regressions;128
8.11;3.11 The Construction of Price Indexes for the Stock of Dwelling Units Using the Results of Hedonic Regressions on the Sales of Houses;131
8.12;3.12 Summary and Conclusion;135
8.13;3.13 Appendix: Tables of Values for the Figures in the Text;136
8.14;References;136
9;4 Estimation of Residential Property Price Index: Methodology and Data Sources;139
9.1;4.1 Introduction;139
9.2;4.2 Alternative Methods for Constructing Residential Property Price Indexes;140
9.2.1;4.2.1 Introduction: The Two Main Methods for Making Quality Adjustments;140
9.2.2;4.2.2 The Standard Hedonic Regression Model;142
9.2.3;4.2.3 The Standard Repeat Sales Model;143
9.2.4;4.2.4 Heteroskedasticity and Age Adjustments to the Repeat Sales Index;144
9.2.5;4.2.5 Rolling Window Hedonic Regressions: Structural Change Adjustments to the Hedonic Index;146
9.3;4.3 A Comparison of Alternative Housing Models for Tokyo;148
9.3.1;4.3.1 Data Description;148
9.3.2;4.3.2 Estimation Results;152
9.3.3;4.3.3 Reconciling the Differences between the Five Models;156
9.4;4.4 The Selection of Data Sources for the Construction of Housing Price Indexes;163
9.4.1;4.4.1 Alternative Types of Real Estate Sales Prices;163
9.4.2;4.4.2 Condominium Prices in the Greater Tokyo Area from Alternative Sources;166
9.4.3;4.4.3 The Quality Adjustment Problem;171
9.5;4.5 The Decomposition of an RPPI into Land and Structure Components;177
9.5.1;4.5.1 Introduction;177
9.5.2;4.5.2 The Tokyo Housing Data;177
9.5.3;4.5.3 The Basic Builder's Model;178
9.5.4;4.5.4 The Builder's Model with Locational Dummy Variables;181
9.5.5;4.5.5 The Construction of Land, Structure and Overall House Price Indexes;182
9.6;4.6 Summary and Conclusion;185
9.7;References;188
10;5 The System of National Accounts and Alternative Approaches to the Construction of Commercial Property Price Indexes;192
10.1;5.1 Introduction;192
10.2;5.2 The System of National Accounts and Stock and Flow Prices for Commercial Properties;195
10.3;5.3 The Builder's Model with a Single Geometric Depreciation Rate;199
10.4;5.4 The Builder's Model with Multiple Geometric Depreciation Rates;207
10.5;5.5 The Builder's Model with Multiple Straight Line Depreciation Rates;210
10.6;5.6 Smoothing the Land Price Series;212
10.7;5.7 The Use of Appraisal Prices as the Data Source in the Builder's Model;215
10.8;5.8 The Use of Land Tax Assessment Values as the Data Source;218
10.9;5.9 Overall Commercial Property Price Indexes;221
10.10;5.10 Commercial Property Price Indexes Based on Stock Market Data;225
10.11;5.11 Summary and Conclusion;226
10.12;References;228
11;Part III Housing Services in CPI and SNA;231
12;6 Measuring the Services of Durables and Owner Occupied Housing;232
12.1;6.1 Introduction;232
12.2;6.2 The Acquisitions Approach;235
12.3;6.3 The Rental Equivalence Approach;238
12.4;6.4 The User Cost Approach for Pricing the Services of a Non-housing Durable Good;241
12.5;6.5 The Opportunity Cost Approach;247
12.6;6.6 A General Model of Depreciation for Consumer Durables;248
12.7;6.7 Geometric or Declining Balance Depreciation;251
12.8;6.8 Straight Line Depreciation;253
12.9;6.9 One Hoss Shay or Light Bulb Depreciation;255
12.10;6.10 The Relationship Between User Costs and Acquisition Costs;257
12.11;6.11 Calculating User Costs for Unique Durable Goods;260
12.12;6.12 Decomposing Residential Property Prices into Land and Structure Components;262
12.13;6.13 Decomposing Condominium Sales Prices into Land and Structure Components;273
12.14;6.14 Demand Side Property Price Hedonic Regressions;280
12.15;6.15 Price Indexes for Rental Housing;286
12.16;6.16 Valuing the Services of OOH: User Cost Versus Rental Equivalence;289
12.17;6.17 The Payments Approach;295
12.18;6.18 Summary and Conclusion;298
12.19;References;302
13;7 New Estimates for the Price of Housing in the Japanese CPI;308
13.1;7.1 Introduction;308
13.2;7.2 The Macroeconomic Analysis of Housing Rent;311
13.2.1;7.2.1 Data;311
13.2.2;7.2.2 Aggregate Rent Indexes Using CPI Methodologies;313
13.2.3;7.2.3 Hedonic Estimation for Housing Rent;316
13.3;7.3 The Micro-Analysis of Rents;319
13.3.1;7.3.1 The Frequency of Rent Adjustments;319
13.3.2;7.3.2 Time-Dependent Versus State-Dependent Adjustments;322
13.4;7.4 Re-estimation of the CPI;328
13.5;7.5 Summary and Conclusion;330
13.6;References;331
14;8 Imputed Rent for OOH in National Account;333
14.1;8.1 Introduction;333
14.2;8.2 The Theory of Household User Costs;335
14.2.1;8.2.1 Basic Model of User Cost Approach;335
14.2.2;8.2.2 The Verbrugge Variant (VV) of the User Cost Approach;336
14.2.3;8.2.3 Diewert's OOH Opportunity Cost Approach;337
14.3;8.3 Empirical Analysis;343
14.3.1;8.3.1 Estimation Error of Imputed Rent for OOH;343
14.3.2;8.3.2 Data;345
14.3.3;8.3.3 Estimation of Rental Value and Capital Value Per Housing;349
14.3.4;8.3.4 Comparison of Imputed Rent of Owner-Occupied Housing in Tokyo;357
14.3.5;8.3.5 Capital Gain;359
14.3.6;8.3.6 Comparison of Estimated User Costs;361
14.4;8.4 Summary and Conclusion;364
14.5;References;366
15;Index;367

Über Autor(innen)

W. Erwin Diewert is a Professor in the Vancouver School of Economics at the University of British Columbia. Kiyohiko G. Nishimura is a Professor at the National Graduate Institute for Policy Studies (GRIPS) and Professor Emeritus and Distinguished Project Research Fellow of the Center for Advanced Research in Finance at the University of Tokyo. Chihiro Shimizu is a senior fellow professor of the Center for Spatial Information Science, The University of Tokyo, and Professor of Nihon University. Tsutomu Watanabe is a Professor in the Faculty of Economics at the University of Tokyo.