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不動産価格変動のダイナミクス - マイクロ構造とマクロトレンド -. 麗澤大学経済学部・准教授  清水千弘 ( Chihiro SHIMIZU). 1. Chihiro SHIMIZU 2009 [email protected] 主要都市における住宅価格変動の因果性. International property cycles - Speed of adjustment . Capital index, December 2002 = 100. 東京都区部のオフィス・住宅市場の動向. 不動産市場分析 : 不動産市場を科学する.

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不動産価格変動のダイナミクス-マイクロ構造とマクロトレンド-

麗澤大学経済学部・准教授

 清水千弘(Chihiro SHIMIZU)

1

Chihiro SHIMIZU 2009 [email protected]


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主要都市における住宅価格変動の因果性


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International property cycles - Speed of adjustment

Capital index, December 2002= 100


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東京都区部のオフィス・住宅市場の動向


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不動産市場分析:不動産市場を科学する

  • 1.ミクロ分析とマクロ分析

  •  ミクロ分析:各経済主体の行動を分析

  •  マクロ分析:市場の変動を分析し,予測する

  • 2.経済モデルと計量分析

  •  理論経済モデルとは?

  • 検証的分析と探索的分析

  • 3.探索的分析(地価動向指標)の問題と予測の失敗

  • (Grammar of Science)

  •   予測ができるのか?

  • 市場の効率性の理解

Chihiro SHIMIZU 2008 [email protected]


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本日のご報告:

1.不動産市場のダイナミクス

2.不動産市場の効率性

3.賃貸料市場の変化-マイクロストラクチャ-

4.キャップレートの決定構造

5.社会構造の変化と不動産価格

6.公示地価への教訓


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1. 不動産市場のダイナミクス

Chihiro SHIMIZU 2008 [email protected]


Gdp sna

GDPとSNA土地資産額の推移


Gordon growth model

Gordon Growth Model: 資産価格とは?

Yit : 費用控除後の賃料収益

Rf : 安全資産の投資利回り

Rp : リスク・プレミアム

G : 収益のマクロ的な上昇率

不動産価値の決まり方

経済活動/需給

キャップ・レート

  • L : 流動性リスク

  • ξ:予期できぬリスク

9

Chihiro SHIMIZU 2009 [email protected]


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長期的な期待:人口は減少していく

Chihiro SHIMIZU 2009 [email protected]


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団塊世代のリタイアとオフィス市場

Chihiro SHIMIZU 2009 [email protected]


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[email protected]バブル

Chihiro SHIMIZU 2009 [email protected]


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日本の地価の長期動向: ECM推定結果

入門計量経済学B 第13回講義ノートより

Chihiro SHIMIZU 2009 [email protected]


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2.日本の不動産市場は効率的か

  • 効率性の検証

    • 疑問1: 短期的に効率的か?

      ① uc一定のもとでの超過収益率の系列相関

      ② 時変的なucのもとでの予測誤差の系列相関

    • 検定方法

      においてAR項の同時除外仮説を検定

井上・清水・中神(2009)


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  • 効率性の検証結果1: 短期的効率性①

井上・清水・中神(2009)


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  • 効率性の検証結果2: 短期的効率性②

井上・清水・中神(2009)


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  • 疑問2: 長期的に効率的か?

    • 長期的に効率的ならば,変数間に共和分関係が存在するはずである

    • 単位根検定を用いて検証

    • 結果: 72市区中,68市区が1%水準で,残りの4市区が5%水準で定常

井上・清水・中神(2009)


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  • マンションの市場価格と理論値

井上・清水・中神(2009)


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3.賃貸料市場の変化-マイクロストラクチャ-

Expenditures for housing services: 26.3%

Housing rents: 5.8%

Imputed rents from owner occupied housing: 18.6%

Housing maintenance and others: 1.9%

“Consumer Price Index (CPI) in Tokyo, 2005”

  • Housing rents account for more than one fourth of personal spending

  • Housing rents are very, very sticky

    • The probability of no change in housing rents is about 29 percent per year (Genesove 2003)

  • The most important link between asset prices and goods & services prices is the one through housing rents (Goodhart 2001)

Chihiro SHIMIZU 2009 [email protected]


Comparison house price and cpi house in tokyo

Comparison House Price and CPI-house in Tokyo


Comparison house price and cpi house in tokyo la ny

Comparison House Price and CPI-house in Tokyo , LA, NY


New rent versus cpi rent

New Rent versus CPI Rent


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Frequency of Rent Adjustments


State dependent or time dependent pricing caballero engel s definition of price flexibility

State-Dependent or Time-Dependent Pricing:Caballero-Engel’s definition of price flexibility

Caballero-Engel(1993)

:Adjustment Hazard

Caballero-Engel’s

measure of price flexibility

Intensive margin

Extensive margin

Caballero-Engel(2007)


Adjustment hazard functions

Intensive margin:

Caballero-Engel’s measure

of price flexibility

Extensive margin:

Adjustment Hazard Functions


Micro macro consistency calvo parameter

Micro-Macro Consistency: Calvo Parameter

Micro estimate: 0.975

Macro estimate: 0.968


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4.キャップレートの決定構造

Jorgenson’s Theorem : Capital, Investment Behavior

Neoclassical theory is the response of the demand for capital to changes in relative factor prices or the ratio of factor prices to the price of output.

User cost / Yield

Capital Depreciation Problem

Jorgenson, D. W. (1963), "Capital Theory and Investment Behavior," American Economic Review, 53, pp.247-259.

Hayashi, F., and T. Inoue (1991), “The relation between firm growth and Q with multiple capital goods: Theory and evidence from panel data on Japanese firms,” Econometrica, pp.731–753.

Chihiro SHIMIZU 2009 [email protected]


Stock market vs asset market

Stock Market vs. Asset Market

[email protected]


Trends in office market

Trends in Office Market:

[email protected]


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Neoclassical theory is the response of the demand for capital to changes in relative factor prices or the ratio of factor prices to the price of output.

User cost / Yield

Capital Depreciation Problem

Jorgenson, D. W. (1963), "Capital Theory and Investment Behavior," American Economic Review, 53, pp.247-259.

Hayashi, F., and T. Inoue (1991), “The relation between firm growth and Q with multiple capital goods: Theory and evidence from panel data on Japanese firms,” Econometrica, pp.731–753.

Chihiro SHIMIZU 2009 [email protected]


Stock market vs asset market1

Stock Market vs. Asset Market

[email protected]


Trends in office market1

Trends in Office Market:

[email protected]


Gordon s growth model present value discount rate

Gordon’s Growth Model : Present Value, Discount Rate

Yit : Net Operating Income

Rf :Risk Free Rate

Rp : Risk Premium

G : Growth in Real Rent

Gordon,M.J and E.Shapro,(1956), Capital Equioment Analysis: The Required Rate of Profit. Management Science, Vol.3,pp.102-110.

Gordon,M.J,(1959), Dividends, Earnings and Stock Prices. Review of Statistics and Economics, Vol.41, pp.99-105.

  • L : Liquidity Risk

  • ξ : Unexpected Risk

33

Chihiro SHIMIZU 2009 [email protected]


Estimation model

Estimation Model

NOI Model

Capital Value Model

Yield or Capitalization Rate:

[email protected]


Estimation results see table3

Estimation Results : See Table3

Unbalanced Panel Data : Pooling Data Analysis

[email protected]


Depreciation effect on capitalization rate

Depreciation Effect on Capitalization Rate

[email protected]


Depreciation effect on noi and capital value

Depreciation Effect on NOI and Capital Value

[email protected]


Quantity effect on capitalization rate

Quantity Effect on Capitalization Rate

[email protected]


Quantity effect on noi and capital value

Quantity Effect on NOI and Capital Value

[email protected]


Accessibility effect on capitalization rate distance to central areas

Accessibility Effect on Capitalization Rate:Distance to Central Areas

40

[email protected]


Accessibility effect on noi and capital value distance to central areas

Accessibility Effect on NOI and Capital Value:Distance to Central Areas

41

[email protected]


Comparison transaction based vs appraisal based depreciation effect on capitalization rate

Comparison: Transaction-based vs. Appraisal-based Depreciation Effect on Capitalization Rate

42

[email protected]


What is capitalization rate

What is Capitalization Rate?

Conclusions;

Capitalization Rate is explained by

Link between asset prices and stock prices in Real Estate Investment Market.

Client Pressure Problems in Appraisal Process

[email protected]


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5.社会構造の変化と不動産価格

米国での議論:

Baby Boom, Baby Burst and Housing Market!

米国の住宅価格は,1987年~2007年まで47%下落する!!!

→社会構造の変化と不動産市場

Chihiro SHIMIZU 2009 [email protected]


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出生者数の推移(JPN)

Source: Ministry of Health, Labor and Welfare


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出生者数の推移(U.S.)

Source: National Center for Health Statistics, "National Vital Statistics Reports."


3 4 a 30 44 jpn

3-4(a).年齢別人口 30-44 (JPN)

Source: Ministry of Internal Affairs and CommunicationsStatistics Bureau


3 4 b 30 44 u s

3-4(b). 年齢別人口 30-44 (U.S.)

Source: U.S. Bureau of Census, "Population Estimates."


Mankiw weil 1989

Mankiw=Weil (1989)住宅需要指標

  • The aggregate amount of housing demand for the specific age of each household member using the housing demand by household, and they created ; (1)Dj is the amount of housing demand forthe jth member in the household, and N is the number of household members. (2)

  • Dummy 0 is the dummy variable, and when age = 0, it becomes 1.

  •  Combining formulas (1) and (2) above results in formula (3).

  • (3)

  • the amount of housing demand i for each age (age i) was estimated


Estimation method of house demand by home ownership rates

Estimation Method of House Demand by Home ownership rates

  • Home ownership demand:

  • we hypothesize that the increase in this rate is equivalent to the ownership demand occurring in that age group

  • Dj,t: home ownership demand for j cohort over t period

  • Oj,t: ownership rate for j cohort over t period

  • Nj,t : population of j cohort over t period

  • Mankiw and Weil (1989) pointed out that there were no significant differences in the final housing prediction model estimates whether using adult population data or an estimated housing demand index based on individual data.


Jpn u s

住宅需要の推計(JPN & U.S.)

Source: Mankiw and Weil (1989), Ootake and Shintani(1994)


Sample selection bias in published land price

Sample Selection Bias in Published Land Price

加重平均地価指数:

   同一地点の対前年比を加重平均

調査地点の選定替えの実施:

変動率で整合性が取れなくなった地点の入れ替え

  変動率のラグ→Shimizu and Nishimura(2004)(2006)


Estimation results of hedonic function

Estimation Results of Hedonic Function


3 1 a real house prices by prefectures jpn

3-1(a). Real House prices by prefectures (JPN)

Source: Ministry of Land, Infrastructure, Transport and Tourism “Published Land Prices”


3 1 b real house prices by states u s

3-1(b). Real House prices by states (U.S.)

Source: Office of Federal Housing Enterprise Oversight, “House Price Index”,U.S. Census of Bureau, “Census of Housing: Median home value.”


3 2 gini s coefficient comparison between japan and us

3.2.Gini's coefficient : Comparison between Japan and US


Cluster classification in japan by appreciation rate of land price

Cluster Classification in Japan by Appreciation Rate of Land Price


Cluster classification in us by appreciation rate of house price

Cluster Classification in US by Appreciation Rate of House Price


House demand by prefectures jpn

House Demand by prefectures (JPN)

Source: Ministry of Internal Affairs and CommunicationsStatistics Bureau, “Census"


House demand by states u s

House Demand by states (U.S.)

Source: U.S. Census of Bureau, “Population Estimates.”


Vs jpn

地域別 住宅需要 vs.住宅価格(JPN)

Source: Ministry of Land, Infrastructure, Transport and Tourism , Ministry of Internal Affairs and CommunicationsStatistics Bureau


Vs u s

地域別 住宅需要 vs.住宅価格(U.S.)

Source: U.S. Census of Bureau, “Population Estimates,” and OFHEO “House Price Index”.


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住宅需要 vs.住宅価格

Japan: 35- to 44-year-old population;

U.S.: 30- to 44-year-old population

Mankiw House Demand Index

63


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住宅需要 vs.住宅価格

Owner Occupied Demand index

Bubble era:

Owner Occupied Demand index

64


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需要要因が住宅価格に与える影響

Chihiro SHIMIZU 2009 [email protected]


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需要要因が住宅価格に与える影響:日本

Chihiro SHIMIZU 2009 [email protected]


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需要要因が住宅価格に与える影響:米国

Chihiro SHIMIZU 2009 [email protected]


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6.公示地価への教訓

不動産価格は予測できるか→市場の効率性

キャッシュフローは市場を適切に反映しているか?

キャップレートは,どのように決定されているのか?

需要ショックは価格変動に影響を及ぼすか?

→どうしたらいいのか???

Chihiro SHIMIZU 2009 [email protected]


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時点修正課題への対応:

Valuation Error, Smoothingはなぜ起こるのか?

起こってはいけないのか?

Chihiro SHIMIZU 2009 [email protected]


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住宅価格指数の比較

Chihiro SHIMIZU 2009 [email protected]


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複数回サンプルの比較:ヘドニック指数

Chihiro SHIMIZU 2009 [email protected]


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複数回サンプルの性質1

Chihiro SHIMIZU 2009 [email protected]


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複数回サンプルの性質2

Chihiro SHIMIZU 2009 [email protected]


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複数回サンプルの性質3

Chihiro SHIMIZU 2009 [email protected]


1 2004

地価回復が遅れた原因-最有効使用1:機会損失が発生しているビル:2004年

オフィスの分布

機会損失ビルの分布

Source) Shimizu and Karato(2010), Microstructure of Office Investment Market in Tokyo Metropolitan Area,(forthcoming)

Chihiro SHIMIZU 2009 [email protected]


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地価回復が遅れた原因-最有効使用2:機会損失が発生しているビルの特性

Source) Shimizu and Karato(2010), Microstructure of Office Investment Market in Tokyo Metropolitan Area,(forthcoming)

Chihiro SHIMIZU 2009 [email protected]


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地価回復が遅れた原因-最有効使用3:再開発の確率

Source) Shimizu and Karato(2010), Microstructure of Office Investment Market in Tokyo Metropolitan Area,(forthcoming)

Chihiro SHIMIZU 2009 [email protected]


Chihiro shimizu http www cs reitaku u ac jp sm shimizu

Chihiro Shimizu: http://www.cs.reitaku-u.ac.jp/sm/shimizu/

論文:

Shimizu,C, K.G.Nishimura and T.Watanabe(2009), “House Prices and Rents in Tokyo - A Comparison of Repeat-sales and Hedonic measures-,” 一橋大学物価研究センターWorking Paper,No.41.Journal of Statistics and Economics (forthcoming)./Paper

Shimizu,C(2009), “Investment Characteristics of Housing Market -Focusing on the stickiness of housing rent-,”麗澤大学経済社会総合研究センターWorking Paper,No.34.(Real Estate Investment, Nova Science Publishers, Inc.より出版予定)./Paper

清水千弘・渡辺努(2009),「日米における住宅価格の変動要因」(伊藤隆敏編『アメリカ特集』所収,フィナンシャル・レビュー95号/財務省財務総合政策研究所./Paper

谷下雅義・長谷川貴陽史・清水千弘(2009),「景観規制が住宅価格に及ぼす影響-東京都世田谷区を対象としたヘドニック法による検証-」計画行政,Vol.32,No.2, pp.71-79.

清水千弘・渡辺努・西村清彦(2009)「住宅市場のマクロ変動と住宅賃料の粘着性」季刊住宅土地経済,No.72, pp.10-17.

清水千弘(2009)「都市基盤整備財源としての受益者負担金制度の課題」計画行政第32巻第1号,pp.74-82.

清水千弘(2009)「住宅賃料の粘着性の計測-住宅市場の変動とマクロ経済政策への応用-」麗澤経済研究,第17巻第1号, pp.29-50.

Shimizu,C(2009), “Estimation of Hedonic Single-Family House Price Function Considering Neighborhood Effect Variables,” 東京大学空間情報科学研究センターDiscussion Paper, No.93./Paper

原野 啓・中川雅之・清水千弘・唐渡広志(2009)「情報の非対称性下における住宅価格とリフォー ム」東京大学空間情報科学研究センターDiscussion Paper,No.94./Paper

Shimizu,C, K.G.Nishimura and T.Watanabe(2008), “Residential Rents and Price Rigidity: Micro Structure and Macro Consequences,” 一橋大学物価研究センターWorking Paper,No.29, revised 2009, RIETI Discussion Paper Series 09-E -044./Paper

清水千弘(2008),「企業不動産戦略の経済学的意義-外部性への配慮と企業の責任-」季刊不動産研究,第50巻,第2号,pp14-23.

清水千弘(2008),「ヘドニック住宅価格関数推定上の課題-過少定式化バイアスへの対応-」資産評価政策学,第10巻第2号(通巻17号),pp.56-61.

清水千弘(2008),「近隣外部性を考慮したヘドニック住宅関数の推定」麗澤経済研究,第16巻第1号, pp.29-44.

Shimizu,C and K.G.Nishimura(2007), “Pricing structure in Tokyo metropolitan land markets and its structural changes: pre-bubble, bubble, and post-bubble periods,” Journal of Real Estate Finance and Economics, Vol.35,No.4,pp.495-496.

清水千弘・唐渡広志(2007),「土地利用の非効率性の費用」住宅土地経済, Vol.64(2007年春季号),pp.22-29.

清水千弘・唐渡広志(2007),「住宅価格の非線形性」麗澤経済研究,第15巻第1号,pp.53-77.

Shimizu,C,K.G.Nishimura and K.Karato(2007), “Nonlinearity of Housing Price Structure-Secondhand Condominium Market in Tokyo Metropolitan Area-,”東京大学空間情報科学研究センターDiscussion Paper,No.86, submitted to “Urban Studies"./Paper

Chihiro SHIMIZU 2009 [email protected]


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Shimizu, C., H.Takatsuji, H.Ono and K.G.Nishimura, (2007), “Change in house price structure with time and housing price index”, RIPESS (Reitaku Institute of Political Economics and Social Studies) Working Paper, No.25./Paper

原野啓・清水千弘・唐渡広志・中川雅之(2007a)「リピートセールス法による品質調整済住宅価格指数の推計」住宅土地経済No.65(2007年夏季号),pp.12-19.

原野啓・清水千弘・唐渡広志・中川雅之(2007b)「わが国におけるリピートセールス法による住宅価格指数の推計課題」麗澤経済研究,第15巻第2号,pp.113-133.

Shimizu,C and K.G.Nishimura (2006), “Biases in appraisal land price information: the case of Japan,”Journal of Property Investment & Finance, Vol.24, No.2,pp. 150- 175.

Shimizu, and H.Ono, (2006), “Incorporting Land Characteristics into Land Valuation for Reconstruction Areas”, RIPESS (Reitaku Institute of Political Economics and Social Studies) Working Paper, No.20./Paper

Shimizu,C, K.G.Nishimura and Y.Asami(2004), “Search and Vacancy Costs in the Tokyo housing market: Attempt to measure social costs of imperfect information,” Regional and Urban Development Studies,Vol.16,No.3,pp.210-230./Paper

学会報告:

清水千弘・川村康人,「既存住宅市場と住宅価格」,都市住宅学会(名城大学),2009.11.

清水千弘・川村康人,「不動産特性とキャップレート」,日本不動産学会,(豊橋技術科学大学), 2009.10.

清水千弘・川村康人,「介護保険財源の地域負担構造」,日本計画行政学会(香川大学),2009.9.

Shimizu,C, K.G.Nishimura,T.Watanabe and K.Karato,House, Price Index in Tokyo Special District,ISA International Housing Conference 2009,(The University of Glasgow's Department of Urban Studies ),2009.9.

Shimizu,C, K.G.Nishimura,T.Watanabe and K.Karato,House, Price Index in Tokyo Special District,SWET: Summer Workshop on Economic Theory2009,2009.8.

Shimizu,C, K.G.Nishimura and T.Watanabe,House, House Prices and Rents in Tokyo - A Comparison of Repeat-sales and Hedonic measures- ,United Nations, 2009 Ottawa Group Meeting(Neuchatel, Switzerland, 27-29 May 2009),2009.5.

Shimizu,C, and T.Watanabe,House,Housing Market Bubbles in Japan and the US,International Economy on U.S. Economy(Ministry of Finance),2009.3.

Shimizu,C, K.G.Nishimura and T.Watanabe,Residential Rents and Price Rigidity-Micro Structure and Macro Consequences-,NBER-TCER-CEPR Conference on Sticky Prices and Inflation Dynamics(Asian Development Bank Institute.),2008.12.

原野啓・中川雅之・清水千弘・唐渡広志「レモンモデルのテスト:リフォームと中古住宅価格」応用地域学会(釧路公立大学),2008.11

Shimizu,C, H.Takatsuji, H.Ono and K.G.Nishimura,Change in house price structure with time and housing price index,第9回 マクロコンファレンス(慶応義塾大学),2007.12.

Chihiro SHIMIZU 2009 [email protected]


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谷下雅義・長谷川貴陽史・清水千弘,土地利用規制が住宅価格に及ぼす影響の分析,第36回土木計画学研究発表会(八戸工業大学),2007.11.

清水千弘,近隣外部性が宅地価格に与える影響-宅地価格構造の非線形性-,資産評価政策学会秋季全国大会(都市センターホテル),2007.11.

清水千弘「東京都区部事務所市場における土地利用の非効率性-収益格差が土地利用転換に与える影響」CSIS DAYS2007,全国共同利用研究発表会(東京大学柏キャンパス),2007.11.

原野啓・清水千弘・唐渡広志・中川雅之「リピートセールス法による品質調整済住宅価格指数の推計」,日本経済学会2007年度秋季大会(日本大学経済学部),2007.9

原野啓・清水千弘・唐渡広志・中川雅之(2007)「リピートセールス法による品質調整済住宅価格指数の推計」,日本不動産学会2007年度秋季全国大会(北海道大学・学術交流会館),2007.11.

清水千弘・唐渡広志,土地利用の転換コスト,日本不動産金融工学学会2006年定期大会報告(明海大学),2006.03.

清水千弘・唐渡広志,土地利用の非効率性の費用,応用地域学会第19回研究発表会(北九州市立大学),2005.12.

Chihiro SHIMIZU 2009 [email protected]


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