2014
DOI: 10.1080/00036846.2014.896988
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Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries

Abstract: Housing price-to-income and price-to-rent ratios are among the most widely monitored indicators of housing market conditions. While these ratios tend to fluctuate around a constant level or a mild trend over the long term, they also tend to deviate from these benchmarks for protracted periods. Traditional unit root tests often indicate the presence of a unit root. This paper uses the framework of fractional integration to test the persistence of price-to-income and price-to-rent ratios in a sample of 16 OECD c… Show more

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Cited by 39 publications
(18 citation statements)
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“…The housing market indeed depends critically on credit market conditions (Case, 2008) and the link between house prices and credit lending has recently attracted considerable interest in empirical papers (Anundsen and Jansen, 2013;Brissimis and Vlassopoulos, 2009;Gimeno and Martinez-Carrascal, 2010;Oikarinen, 2009;Fitzpatrick and McQuinn, 2007;Gerlach and Peng, 2005;Hofmann, 2004;De Haas and de Greef, 2000 among others). Most studies find a bi-directional relationship between credit and house 2 Other papers that study the relationship between house prices and fundamentals are Gallin (2008), Mikhed and Zemcik (2009a), Mikhed and Zemcik (2009b), Duca et al (2011b), Duca et al (2011a), Muellbauer (2012, Andr et al (2014), and Anundsen (2015) among others.…”
Section: Can Fundamentals Explain House Prices? An Overview Of the LImentioning
confidence: 97%
“…The housing market indeed depends critically on credit market conditions (Case, 2008) and the link between house prices and credit lending has recently attracted considerable interest in empirical papers (Anundsen and Jansen, 2013;Brissimis and Vlassopoulos, 2009;Gimeno and Martinez-Carrascal, 2010;Oikarinen, 2009;Fitzpatrick and McQuinn, 2007;Gerlach and Peng, 2005;Hofmann, 2004;De Haas and de Greef, 2000 among others). Most studies find a bi-directional relationship between credit and house 2 Other papers that study the relationship between house prices and fundamentals are Gallin (2008), Mikhed and Zemcik (2009a), Mikhed and Zemcik (2009b), Duca et al (2011b), Duca et al (2011a), Muellbauer (2012, Andr et al (2014), and Anundsen (2015) among others.…”
Section: Can Fundamentals Explain House Prices? An Overview Of the LImentioning
confidence: 97%
“…The price-to-income ratio is among the most widely monitored indicators of housing market conditions (André, Gil-Alana, & Gupta, 2014). The price-to-income ratio is among the most widely monitored indicators of housing market conditions (André, Gil-Alana, & Gupta, 2014).…”
Section: Data and Variablesmentioning
confidence: 99%
“…To represent the homebuyer's motivation for or interest in purchasing a house, this study uses the price-toincome ratio, measuring affordability, thereby ability to consume housing. The price-to-income ratio is among the most widely monitored indicators of housing market conditions (André, Gil-Alana, & Gupta, 2014).…”
Section: Data and Variablesmentioning
confidence: 99%
“…Nevertheless, rapid deleveraging can be harmful to growth, particularly if it happens mainly through credit contraction. Recent IMF estimates shed light on factors behind deleveraging in a sample of advanced economies between and 2014(IMF, 2015a. In four countries, the gross household debt-to-GDP ratio fell by more than nine points, but the reduction was driven by very different factors.…”
Section: Debt Has Risen Rapidly Since the Turn Of The Centurymentioning
confidence: 99%
“…Recently, housing prices stabilised at a high level in many countries. Housing price-to-rent and price-to-income ratios are useful indicators of potential overvaluation, but even though they tend to revert to their long-term average over the long run, they are generally non-stationary, even when allowing for long memory processes (André et al, 2014). These ratios are affected by interest rates and structural features of housing markets, like urbanisation trends, supply responsiveness and taxation.…”
mentioning
confidence: 99%