Equilibrium Land Prices of Japanese Prefectures: A Panel Cointegration Analysis

Takashi Nagahata, Yumi Saita, Toshitaka Sekine and Towa Tachibana
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Takashi Nagahata: Bank of Japan
Yumi Saita: Bank of Japan
Towa Tachibana: Kobe University

No 04-E-9, Bank of Japan Working Paper Series from Bank of Japan

Abstract: Based on newly constructed prefectural land price data, we estimate long-run equilibrium relationships using a panel cointegration analysis, and then estimate an error-correction model (ECM) for land prices. The panel cointegration analysis reveals that the PVR cum price expectation can be regarded as a long-run equilibrium relationship. The ECM finds that deviations from the long-run equilibrium and non-performing loans in particular have sizable effects on land prices. Moreover, recent regional discrepancies in land prices are closely related to deviations from the long-run equilibrium.

Keywords: land price; present value relation; panel cointegration (search for similar items in EconPapers)
JEL-codes: C23 G12 (search for similar items in EconPapers)
Date: 2004-07
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Citations: View citations in EconPapers (10)

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