VARモデルによる住宅地, 商業地の価格変動に関する分析

抄録

This paper adds an error correction term to VAR model, using Granger's representaion theorem, to investigate the possibilities that the macro economic variables have short term and long term effects on land prices, and that these variables are in mutually dependent relationships. The land prices in the commercial district and the residential district are estimated individually. The estimated models are statistically examined using Dickey-Fuller test and Johansen's likelihood ratio test. A notable feature of this paper is that it puts “zero” value restrictions on a part of coefficient matrix. The results of the analyses show that the land prices of the commercial district and the residential district are both affected by the corporate profits, the money supply, and the interest rate in the long run equilibrium.