Arbeitspapier
Earthquake risk embedded in property prices: Evidence from five Japanese cities
We analyze the impact of short-run and long-run earthquake risk on Japanese property prices. We exploit a rich panel data set of property characteristics, ward attractiveness information, macroeconomic variables, seismic hazard data, and historical earthquake occurrences, supplemented with short-run earthquake probabilities that we generate from a seismic excitation model. We design a hedonic property price model that allows for probability weighting, employ a multivariate error components structure, and develop associated maximum likelihood estimation and variance computation procedures. We find that distorted short-run and long-run earthquake probabilities have a significantly negative impact on property prices. Our approach enables us to identify the total compensation for earthquake risk embedded in property prices and to decompose this into pieces stemming from short-run and long-run risk, and to further decompose this into objective and distorted risk components.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. TI 2018-061/III
- Klassifikation
-
Wirtschaft
Urban, Rural, Regional, Real Estate, and Transportation Economics: Household Analysis: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Criteria for Decision-Making under Risk and Uncertainty
Valuation of Environmental Effects
- Thema
-
Earthquake risk
House price
Seismic excitation
Probability weighting
Hedonic pricing
Multivariate error components
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ikefuji, Masako
Laeven, Roger J. A.
Magnus, Jan R.
Yue, Yuan
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Ikefuji, Masako
- Laeven, Roger J. A.
- Magnus, Jan R.
- Yue, Yuan
- Tinbergen Institute
Entstanden
- 2018
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