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Identifier to cite or link to this item: https://hdl.handle.net/10086/18511

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Title
Structural and Temporal Changes in the Housing Market and Hedonic Housing Price Indices : A Case of the Previously Owned Condominium Market in the Tokyo Metropolitan Area
Creator
Creator Name
Shimizu, Chihiro Shimizu, Chihiro
清水, 千弘 清水, 千弘
シミズ, チヒロ シミズ, チヒロ
Affiliation
Affiliation Name
Reitaku University
Creator Name
Takatsuji, Hideoki Takatsuji, Hideoki
高辻, 秀興 高辻, 秀興
タカツジ, ヒデオキ タカツジ, ヒデオキ
Affiliation
Affiliation Name
Reitaku University
Creator Name
Ono, Hiroya Ono, Hiroya
小野, 宏哉 小野, 宏哉
オノ, ヒロヤ オノ, ヒロヤ
Affiliation
Affiliation Name
Reitaku University
Creator Name
Nishimura, Kiyohiko G. Nishimura, Kiyohiko G.
西村, 清彦 西村, 清彦
ニシムラ, キヨヒコ ニシムラ, キヨヒコ
Affiliation
Affiliation Name
Bank of Japan
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
structural change
seasonal sample selection bias
(un)restricted hedonic model
overlapping-period hedonic model
JEL
C43
C81
R21
R31
Abstract
An economic indicator faces two requirements. It should be timely reported and should not significantly be altered afterward to avoid erroneous messages. At the same time they should reflect changing market conditions constantly and appropriately. These requirements are particularly challenging for housing price indices, since housing markets are subject to large temporal/seasonal changes and occasional structural changes. In this study we estimate a hedonic price index of previously-owned condominiums of Tokyo 23 Wards from 1986 through 2006, taking account of seasonal sample selection biases and structural changes in a way it enables us to report the indexes timely which are not subject to change after reporting. Specifically, we propose an overlapping-period hedonic model (OPHM), in which a hedonic price index is calculated every month based on data in the “window” of a year ending this month (this month and previous eleven months). We also estimate hedonic housing price indexes under alternative assumptions: (i) no structural change (“structurally restricted”) and (ii) different structure for every month (“structurally unrestricted”). Results suggest that the structure of the housing market, including seasonality, changes over time, and these changes occur continuously over time. It is also demonstrated that structurally restricted indices that do not account for structural changes involve a large time lag compared with indices that do account for structural changes during periods with significant price fluctuations.
Description
May 1, 2010
Publisher
Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University
Issued Date
2010-05-12
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Working Paper Series ; No. 52
ReplacesRelation -
Related Identifier
HDL
  http://hdl.handle.net/10086/18298
Relation
Related Title
This is a revised version of http://hdl.handle.net/10086/18298
Related Identifier
URI
  http://www.ier.hit-u.ac.jp/~ifd/
Number of Pages
31
Appears in Collections
Working Paper Series / Understanding Inflation Dynamics of the Japanese Economy
URL
https://hdl.handle.net/10086/18511