2019 Fiscal Year Final Research Report

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

Research Project

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Project/Area Number	16KK0086
Research Category	Fund for the Promotion of Joint International Research (Fostering Joint International Research)
Allocation Type	Multi-year Fund
Research Field	Social systems engineering/Safety system
Research Institution	Chuo University
Principal Investigator	Ishijima Hiroshi 中央大学, 法務研究科, 教授 (20317308)
Project Period (FY)	2017 – 2019
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
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.
Free Research Field	ファイナンス
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。