House Price Dispersion in Boom-Bust Cycles: Evidence from Tokyo

Takaaki Ohnishi, Takayuki Mizuno and Tsutomu Watanabe
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Takaaki Ohnishi: Graduate School of Information Science and Technology, University of Tokyo
Takayuki Mizuno: National Institute of Informatics
Tsutomu Watanabe: Graduate School of Economics,University of Tokyo

No 8, Working Papers on Central Bank Communication from University of Tokyo, Graduate School of Economics

Abstract: We investigate the cross-sectional distribution of house prices in the Greater Tokyo Area for the period 1986 to 2009. We find that size-adjusted house prices follow a lognormal distribution except for the period of the housing bubble and its collapse in Tokyo, for which the price distribution has a substantially heavier upper tail than that of a lognormal distribution. We also find that, during the bubble era, sharp price movements were concentrated in particular areas, and this spatial heterogeneity is the source of the fat upper tail. These findings suggest that, during a bubble, prices increase markedly for certain properties but to a much lesser extent for other properties, leading to an increase in price inequality across properties. In other words, the defining property of real estate bubbles is not the rapid price hike itself but an increase in price dispersion. We argue that the shape of cross-sectional house price distributions may contain information useful for the detection of housing bubbles.

Keywords: housing bubbles; anomaly detection; lognormal distributions; power-law tail; hedonic models; market segmentation; submarkets (search for similar items in EconPapers)
JEL-codes: C46 R10 R30 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2019-06
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (2)

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