論文

査読有り
2021年5月

Earthquake Risk Embedded in Property Prices: Evidence from Five Japanese Cities

Journal of the American Statistical Association
  • Masako, Ikefuji
  • ,
  • Roger, J. A. Laeven
  • ,
  • Jan
  • ,
  • R. Magnus
  • ,
  • Yuan, Yue

Epub
TI 2018-061/III
記述言語
日本語
掲載種別
研究論文(学術雑誌)
DOI
10.1080/01621459.2021.1928512
出版者・発行元
TAYLOR & FRANCIS INC

We analyze the impact of short-run (90 days) and long-run (30 years) earthquake risk on real estate transaction prices in five Japanese cities (Tokyo, Osaka, Nagoya, Fukuoka, and Sapporo), using quarterly data over the period 2006-2015. We exploit a rich panel dataset (331,343 observations) with property characteristics, ward attractiveness information, macroeconomic variables, and long-run seismic hazard data, supplemented with short-run earthquake probabilities generated from a seismic excitation model using historical earthquake occurrences. We design a hedonic property price model that allows for subjective probability weighting, employ a multivariate error components structure, and develop associated maximum likelihood estimation and variance computation procedures. Our approach enables us to identify the total compensation for earthquake risk embedded in property prices, to decompose this into pieces stemming from short-run and long-run risk, and to distinguish between objective and subjectively weighted ("distorted") earthquake probabilities. We find that objective long-run earthquake probabilities have a statistically significant negative impact on property prices, whereas

リンク情報
DOI
https://doi.org/10.1080/01621459.2021.1928512
ID情報
  • DOI : 10.1080/01621459.2021.1928512
  • ISSN : 0162-1459

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