Indices in Real Estate and Financial Markets

2017 Fiscal Year Final Research Report

• Project/Area Number: 15K03471
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic policy
• Research Institution: Meiji University
• Principal Investigator: YAMAMURA YOSHIRO 明治大学, グローバル・ビジネス研究科, 専任教授 (60284353)
• Co-Investigator(Kenkyū-buntansha): 田野倉 葉子 明治大学, 先端数理科学研究科, 特任准教授 (60425832)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: 不動産市場 / 不動産インデックス / ヘドニック・アプローチ / ソブリンCDS / 時系列分析

Outline of Final Research Achievements

Firstly we developed various indices expressing market trends in the real estate and financial markets and verify their effectiveness. In the real estate market, we estimate the real estate / rent indices based on the hedonic approach for commercial real estate transaction data and real estate lease data in 23 wards of Tokyo. We also have made a return index that depicts the yield of the real estate investment for office buildings in the center of Tokyo and have verified the effectiveness of our index.
Secondly, in terms of the financial market, we can observe that the spread curve of the sovereign CDS at the time of the crisis is frequently reversed in long and short, so we have developed a distribution free index based on the spread curve of the sovereign CDS expressing sovereign risk.

Free Research Field

都市経済学