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A Research on the Mechanisa of Land Price Forpation and the Option Propenty of Land

地价形成机制与土地期权倾向研究

基本信息

批准号：
05630057
负责人：
KANOH Satoru
金额：
$ 1.28万
依托单位：
Yokohama National Univesity
依托单位国家：
日本
项目类别：
Grant-in-Aid for General Scientific Research (C)
财政年份：
1993
资助国家：
日本
起止时间：
1993 至 1994
项目状态：
已结题

项目摘要

According to the standard asset pricing theory, land price is determined to be equal to the discounted sum of future rent revenues from land. However, the recent land price movements in Japan seem to be disobeying this economic rule. In this study, we attempt to construct a new model of land price formation under uncertainty to rationally explain the recent land price movements in Japan. In particular, we explicitly consider multiple land uses and the conversion of land among alternative land uses in the model and highlight an option property of land which has been ignored in the previous researches. The main results obtained in this study can be summarized as follows. First, even though there exist no bubbles, land can be rationally priced far beyond its fundamental value. Second, increased uncertainty in the stochastic processes of the fundamental values of land may increase land prices rather than decrease them.Third, the option property of land can naturally give rise to the excess volatility and the downward rigidity of land prices. In addition, we perform an empirical analysis using the data of the Tokyo metropolitan residential area from 1971 through 1990. This empirical analysis uncovers that the option value of the land in this area is an important factor which can solely explain almost half of the difference between the actual land price and its fundamental value.

根据标准资产定价理论，土地价格被确定为等于未来土地租金收入的贴现总和。然而，日本最近的土地价格走势似乎违背了这一经济规律。在本研究中，我们试图构建一个新的不确定性下的土地价格形成模型，以合理地解释日本最近的土地价格变动。特别是，我们明确地考虑了多种土地用途和土地之间的转换替代土地用途的模型中，突出了土地的一个选项属性，这是在以前的研究中被忽视。本研究取得的主要结果可概括如下。首先，即使不存在泡沫，土地也可以被合理定价，远远超过其基本价值。第二，土地基本价值随机过程的不确定性增加，可能会使土地价格上涨而不是下跌;第三，土地的期权属性自然会导致土地价格的过度波动和向下刚性。此外，我们使用1971年至1990年东京都居住区的数据进行实证分析。通过实证分析发现，该地区土地的期权价值是一个重要的因素，它可以单独解释近一半的实际土地价格与其基本价值之间的差异。