2019 Fiscal Year Final Research Report
Micro-data analysis of the endogenous relationship between bank lending and real estate prices
| Project/Area Number |
26285072
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Partial Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Nihon University (2015-2019)
Research Institute of Economy, Trade and Industry (2014) |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
渡部 和孝 慶應義塾大学, 商学部(三田), 教授 (80379106)
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| Project Period (FY) |
2014-04-01 – 2020-03-31
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| Keywords | 資産価格決定要因 / 不動産担保融資 / 信用創造 / マッチングデータ / 操作変数 / ヘドニック変数 |
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| Outline of Final Research Achievements |
Previous studies have shown that the loan-to-value (LTV) ratio to finance real estate purchases has the effect to raise the real estate prices.
However, previous studies did not fully elucidate whether high loan-to-value ratios results in high transaction prices or whether properties with high transaction prices have attributes that make banks more likely to increase their loan-to-value ratios, due to inadequate controls for property individuality and the independence of variables used in the instrumental variable method.
In this study, microdata allows us to determine that the hedonic variables and the instrumental variables do not generate an unnecessary bias. The increase in the LTV has the effect to increase real estate prices.
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| Free Research Field |
経済政策
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| Academic Significance and Societal Importance of the Research Achievements |
単純な経済モデルでは、不動産の買い手に銀行が融資する比率（ＬＴＶ）が上下しても、不動産の価格に変化はない。しかし現実には銀行の融資姿勢は不動産価格に大きな影響を持つ。本研究では操作変数法の問題点を検証しながら分析を行い、銀行融資と不動産取引価格の内生性を考慮したうえで、ＬＴＶの上昇による取引価格への影響を推定した。ＬＴＶの上昇は取引価格を上昇させ、特に法人の場合の影響が大きかった。また借り入れに頼らず自己資金のみで購入する買い手の存在によって、不動産価格の不安点性は大きく抑制されていることも判明した。
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