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Dynamic Asset Pricing in Real Estate Markets: A Comparison of Japan and the United States(Fostering Joint International Research)

Research Project

Project/Area Number 16KK0086
Research Category

Fund for the Promotion of Joint International Research (Fostering Joint International Research)

Allocation TypeMulti-year Fund
Research Field Social systems engineering/Safety system
Research InstitutionChuo University

Principal Investigator

Ishijima Hiroshi  中央大学, 法務研究科, 教授 (20317308)

Project Period (FY) 2017 – 2019
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥12,220,000 (Direct Cost: ¥9,400,000、Indirect Cost: ¥2,820,000)
Keywordsファイナンス / 不動産 / アセット・プライシング / 住宅価格と家賃の連動ダイナミクス / 日米不動産市場 / 資産価格評価 / 実証分析 / 日米比較
Outline of Final Research Achievements

I completed my research on the theme “Dynamic Asset Pricing in Real Estate Markets: A Comparison of Japan and the United States” which has been addressed in conducting the underlying research in Japan. In order to enhance my research, I visited the Center on Japanese Economy and Business (CJEB), Columbia Business School and studied intensively from Sep 2018 to Aug 2019. As finance theory suggests real estate prices are the discounted sum of future rents, it would be a challenge to better understand house prices in the asset market in conjunction with rents in the space market. Accordingly, I developed a rational pricing model comprised of PHD equations which solve both rents and property prices in conjunction with financial asset prices. I then conducted empirical analyses to understand house prices and rents in Japan and the US. Moreover, I contributed to create an international academic network in order to help support sustainable research in the real estate finance field.

Academic Significance and Societal Importance of the Research Achievements

不動産は生活の基盤であり、世界経済において最大・最重要な資産である。また、2008年の世界金融危機で見たように、近年、不動産市場は金融市場と密接に連動している。本国際共同研究は、金融資産と統一的に不動産の価格評価を行うPHD方程式を核とした理論を構築するという学術的意義がある。また、本理論に基づき、日米の住宅市場の価格形成ダイナミクスを解明するという社会的意義がある。さらに、国内外の学術団体による不動産ファイナンスの国際共同研究体制の構築・運営を行っている。本研究の波及効果を加速させ、不動産ファイナンス分野における国際的水準の貢献を行う学術的・社会的意義もある。

Report

(2 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • Research Products

    (13 results)

All 2020 2019 2018 Other

All Int'l Joint Research (1 results) Journal Article (4 results) (of which Peer Reviewed: 1 results,  Open Access: 3 results) Presentation (3 results) (of which Int'l Joint Research: 2 results) Remarks (4 results) Funded Workshop (1 results)

  • [Int'l Joint Research] コロンビア大学ビジネススクール日本経済経営研究所(米国)2018

    • Year and Date
      2018-09-01
    • Related Report
      2019 Annual Research Report
  • [Journal Article] Forecasting Japanese Inflation With a News-Based Leading Indicator of Economic Activities2020

    • Author(s)
      Keiichi Goshima, Hiroshi Ishijima, Mototsugu Shintani, and Hiroki Yamamoto
    • Journal Title

      Studies in Nonlinear Dynamics & Econometrics (SNDE)

      Volume: 採択済

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Forecasting Japanese Inflation With a News-Based Leading Indicator of Economic Activities2019

    • Author(s)
      Keiichi Goshima, Hiroshi Ishijima, Mototsugu Shintani, and Hiroki Yamamoto
    • Journal Title

      CARF Working Paper, Center for Advanced Research in Finance, University of Tokyo

      Volume: CARF-F-458 Pages: 1-47

    • Related Report
      2019 Annual Research Report
    • Open Access
  • [Journal Article] A Generalized Hedonic Pricing Model and Its Applications to the Japanese Real Estate Market2019

    • Author(s)
      Hiroshi Ishijima and Akira Maeda
    • Journal Title

      数理解析研究所講究録, 京都大学数理解析研究所

      Volume: 2106 Pages: 18-22

    • Related Report
      2019 Annual Research Report
    • Open Access
  • [Journal Article] 不動産アナリティクス2019

    • Author(s)
      石島博
    • Journal Title

      ジャレフ・ジャーナル (日本不動産金融工学学会誌)

      Volume: 11 Pages: 27-28

    • Related Report
      2019 Annual Research Report
    • Open Access
  • [Presentation] A Dynamic Housing Price Model Under Low Interest Rate Environment2020

    • Author(s)
      Hiroshi Ishijima and Tomohiro Tsuruga
    • Organizer
      2020 JAREFE(日本不動産金融工学学会) 定期大会
    • Related Report
      2019 Annual Research Report
  • [Presentation] News Implied Uncertainty and Aggregate Economic Activity: Evidence From the Japanese Government Bond Market2019

    • Author(s)
      Keiichi Goshima, Hiroshi Ishijima, and Mototsugu Shintani
    • Organizer
      The 3rd International Conference on Econometrics and Statistics (EcoSta 2019), National Chung Hsing University, Taiwan
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Do Low Interest Rates Stimulate Japanese House Prices?2019

    • Author(s)
      Hiroshi Ishijima and Akira Maeda
    • Organizer
      24th AsRES Annual International Conference 2019, Hilton Shenzhen Shekou Nanhai, China
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Remarks] リサーチマップ (researchmap)

    • URL

      https://researchmap.jp/hiroshi.ishijima

    • Related Report
      2019 Annual Research Report
  • [Remarks] 中央大学研究者情報データベース

    • URL

      http://researchers.chuo-u.ac.jp/Profiles/2/0000168/profile.html

    • Related Report
      2019 Annual Research Report
  • [Remarks] 石島博研究室1

    • URL

      https://sites.google.com/view/ishijima/

    • Related Report
      2019 Annual Research Report
  • [Remarks] 石島博研究室2

    • URL

      http://ilabfe.jp/

    • Related Report
      2019 Annual Research Report
  • [Funded Workshop] 2020 JAREFE(日本不動産金融工学学会) 定期大会 米国不動産都市経済学会AREUEA会長 Abdullah Yavas教授特別講演2020

    • Related Report
      2019 Annual Research Report

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Published: 2017-03-15   Modified: 2021-02-19  

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