2009
DOI: 10.1016/j.jue.2009.06.002
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What moves housing markets: A variance decomposition of the rent–price ratio

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Cited by 381 publications
(310 citation statements)
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References 40 publications
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“…To gain more insight on the rationale behind these econometric tests for bubbles, I follow Campbell et al (2009) and present a theoretical home pricing model for the housing market. I rst denote the de nition of the realized real gross return for holding a home for one period by…”
Section: The Modelmentioning
confidence: 99%
See 1 more Smart Citation
“…To gain more insight on the rationale behind these econometric tests for bubbles, I follow Campbell et al (2009) and present a theoretical home pricing model for the housing market. I rst denote the de nition of the realized real gross return for holding a home for one period by…”
Section: The Modelmentioning
confidence: 99%
“…This paper addresses the question of whether recent home price appreciation in Israel re ects the existence of a national or regional housing bubble or whether it is just the result of changes in fundamental supply and demand factors. To answer this question, I integrate a housing market version of the dynamic Gordon growth model (Campbell et al, 2009), as well as advanced econometric bubble detection and monitoring strategies (Phillips et al, , 2013bHomm and Breitung, 2012). The dynamic Gordon growth model decomposes changes in the price to rent ratio into changes in the expected paths of rent price growth rates, risk-free rates and risk premiums.…”
Section: Introductionmentioning
confidence: 99%
“…However, an interested reader might find the following citations of use. For discussions of the explanatory potential of interest rates, see Glaeser, Gottlieb, and Gyourko (2010) ;Himmelberg, Mayer, and Sinai (2005); Mayer and Sinai (2009);and Campbell et al (2009). For subprime lending, see Pavlov and Wachter (2009) ;Mian and Sufi (2009); Wheaton and Nechayev (2008); and Lai and Van Order (2010).…”
Section: House Price Moments In Boom-bust Cyclesmentioning
confidence: 99%
“…One approach is to compare the rental value and prices for a set of matched rental and owner-occupied houses, as in Smith and Smith (2006). Another strategy is to assume that the growth rate in apartment rents, which are observed, is a good proxy for the growth rate in the unobserved rental value of owneroccupied housing, as in Himmelberg, Mayer, and Sinai (2005) or Campbell et al (2009). A third tactic is to use demand shifters, such as household income, to estimate rental value within the context of an economic model, as in Glaeser, Gottlieb, and Gyourko's chapter in this volume.…”
Section: House Price Cycles Remain After Controlling For Demand Fundamentioning
confidence: 99%
“…First, some researchers have argued that there is little support in the data for a close link between interest rates and house prices. Campbell et al (2009) looked at the price-rent ratio and argued that:…”
Section: The Economic Effects Of the Lsap Programmentioning
confidence: 99%