Office rent at the central district in Osaka is still experiencing a downward trend almost fifteen years after the bubble burst. This paper constructs office price index using individual office data from 1985 to 2004, and implements Granger test by autoregressive model in order to make clear causality.

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バブル崩壊後の不動産価格の引き続く下落傾向, 近年の市場金利の低下, それに対する不動産賃貸料の比較的安定した推移を考えると, 従来の収益還元価格に基づく現在価値法では不動産価格の低迷を説明することが困難である. 本論文では, その説明できない要因として不動産市場の非効率性と危険資産としてのリスクプレミアムの存在を取り上げる. ヘドニック不動産価格指数の構築に基づいて順次それらを検定し, 可変リスクプレミアムの存在を推定モデルによって検証する.

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Halting the decline in U.S. housing prices is often mentioned as the condition for resolving the financial crisis stemming from the American sub-prime shock. Since 2000, U.S. house prices have risen steeply and subsequently plummeted back down. In Japan, a similar kind of rise and fall in house prices was experienced from the mid-1980s through the 1990s. Accordingly, the purpose of this study is to compare the Japanese and U.S. housing markets and explore the similarities and differences between the two, especially focusing on "housing demand" and "the volume of housing sales". A notable problem in Japan is the fact that no index exists that enables us to capture fluctuations in house prices. The various real estate price indicators that we typically see, as typified by Public Land Prices, are based on appraisals, are not quality adjustment. We use the quality-adjustment house price index estimated by Shimizu and Watanabe (2009). Next, we will turn to a representative studies by Mankiw and Well (1989) and Wheaton and Lee (2009) analyzing U.S. house prices. Mankiw and Weil (1989) focused on demand-side, changes in U.S. population characteristics and forecasted future house prices. Wheaton and Lee (2009) focused on supply-side, changes in U.S. housing transactions and house prices. In this study, we will compare the relationship between changes in house price and changes in demand based on population characteristics and supply based on the volume of housing sales in Japan and the U.S.

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国民経済計算（SNA）や消費者物価指数において、住宅サービス、とりわけ持ち家のサービスは、最も困難な測定対象の１つである。多くの国では、帰属家賃という概念の下で、測定をしている。帰属家賃とは、ある人が住宅を所有し、居住（使用）するために支払わなければならない家賃のことをいう。日本・米国では、国内総生産（GDP）の約１割を占め、消費者物価指数（CPI）ではおおよそ４分の１のウェイトを占めている。このように、帰属家賃はGDPやCPI統計に大きなウェイトを持つことで、年金支給、賃金交渉、税制、マクロプルーデンス政策、金融政策などに影響を及ぼす。GDPやCPIに大きなウェイトを持つことから、帰属家賃の測定の正確性・精度は、国の統計機関や中央銀行にとって、高い関心の対象となる。さらに帰属家賃は所得格差の推定値にも影響を及ぼす。帰属家賃を不平等指標に含めると、持ち家所有者の調整後所得が賃貸住宅所有者に比べて大幅に増加するためである。地域別または国別の消費水準や不平等度を生み出している多くの部分が、住宅サービスに由来する。財政分野でも、帰属家賃は重要な税収源となる可能性があるため注目されている。本稿は、帰属家賃の様々な利用方法と、その主な測定方法について検討し、今後の課題を論じる。

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不動産価格統計の整備が国際的に進められている。本論文は、商業系の不動産価格指数の整備が、国民経済計算体系のなかでどのように活用ができるのかを整理したものである。GDP統計における不動産業のアウトプット価格として、不動産価格指数が必要となることは言うまでもない。全要素生産性が国民経済計算の一部として計算される場合には、中間投入として土地及び建物価格指数も必要になる。本論文では、商業不動産価格指数（CPPI: Commercial Property Price Index）を構築するための既存の方法をレビューし、GDP統計における位置づけを整理するとともに、新しい指数の推計方法について提案する。

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The advent and collapse of real estate bubbles, or the sharp rises and falls in real estate prices, have posed major economic issues in many contries. Real estate prices soared sharply in Japan and Sweden in the　1990s and recently in many Western countries （until the mid─2000s）, until plunging in the wake of the financial crisis in the United States. The rapid rise and fall of real estate prices in Japan from the mid-1980s to the 1990s is said to represent the most significant real estate bubble of the 20th century. Following the collapse of this bubble, Japan experienced a long period of economic stagnation, often cynically described as the“l ost decades.” What have we learned from these ups and downs in the real estate market? Have recent real estate investment risk management efforts incorporated these lessons? To answer these questions, this paper would like to pay attention to the severalty of each real asset. The lesson learned from last century's economic bubble and from the expansion and shrinkage of the real estate market in the wake of the latest financial crisis is that real estate investment risks cannot be dispersed by diversifying investments, and major risks will remain unless assets are carefully selected.

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Prices and return rates of real estate have been greatly changed before and after the bubble period. A prolonged downward trend of the real estate prices has relatively raised the rent-price ratio. What expectations have market participants formed since the bubble period through its collapse up to date? Rational expectations and adaptive expectations are analyzed in terms of real estate prices as asset management items. Also, regarding return rates, how does the difference between the return rate of an equilibrium condition derived from present value model and the return rate in the past influence the present return rate?

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