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Home > Research and Studies > Bank of Japan Working Paper Series, Review Series, and Research Laboratory Series > Bank of Japan Working Paper Series 2004 > Equilibrium Land Prices of Japanese Prefectures: A Panel Cointegration Analysis
Takashi Nagahata *2
Yumi Saita *3
Toshitaka Sekine *4
Towa Tachibana *5
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Based on newly constructed prefectural land price data, we estimate long-run equilibrium relationships using a panel cointegration analysis, and then estimate an error-correction model (ECM) for land prices. The panel cointegration analysis reveals that the PVR cum price expectation can be regarded as a long-run equilibrium relationship. The ECM finds that deviations from the long-run equilibrium and non-performing loans in particular have sizable effects on land prices. Moreover, recent regional discrepancies in land prices are closely related to deviations from the long-run equilibrium.
JEL Classification Number:
land price, present value relation, panel cointegration