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SUMMARY:Earthquake risk embedded in property prices: Evidence from five Ja
 panese cities (by Masako Ikefuji)
DTSTART:20190110T110000Z
DTEND:20190110T123000Z
DTSTAMP:20181107T080539Z
UID:presentation-90.series-5
DESCRIPTION:We analyze the impact of short-run and long-run earthquake ris
 k on Japanese property prices. We exploit a rich panel data set of propert
 y characteristics\, ward attractiveness information\, macroeconomic variab
 les\, seismic hazard data\, and historical earthquake occurrences\, supple
 mented with short-run earthquake probabilities that we generate from a sei
 smic excitation model. We design a hedonic property price model that allow
 s for probability weighting\, employ a multivariate error components struc
 ture\, and develop associated maximum likelihood estimation and variance c
 omputation procedures. We  find that distorted short-run and long-run eart
 hquake probabilities have a significantly negative impact on property pric
 es. Our approach enables us to identify the total compensation for earthqu
 ake risk embedded in property prices and to decompose this into pieces ste
 mming from short-run and long-run risk\, and to further decompose this int
 o objective and distorted risk components.
LOCATION:SR Wegener Center\, Brandhofgasse 5\, 1st floor
ORGANIZER;CN="Douglas Maraun";ROLE=CHAIR:MAILTO:douglas.maraun@uni-graz.at
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