The Dynamics of the House Price-to-Income Ratio: Theory and Evidence

Leung, Charles Ka Yui; Tang, Edward Chi Ho

The Dynamics of the House Price-to-Income Ratio: Theory and Evidence

Leung, Charles Ka Yui; Tang, Edward Chi Ho

Institute of Social and Economic Research Discussion Papers, 2021, 1125

アクセス数:305件（2026-02-11 22:46 集計）

固定URL: https://hdl.handle.net/11094/79415

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タイトル	The Dynamics of the House Price-to-Income Ratio: Theory and Evidence
著者	著者名 Leung, Charles Ka Yui
著者	著者名 Tang, Edward Chi Ho
キーワード等	housing affordability
	output dynamics
	endogenous house price
	wage rigidity
	monetary policy rule
抄録	The house price-to-income ratio (PIR) is widely used as an affordability indicator. This paper complements the cross-sectionally focused literature by proposing a tractable model for the PIR dynamics. Our model predicts that the PIR is very persistent and is correlated to the lagged aggregate output. Cross-country analysis confirms this prediction and provides evidence for a long-term, positive and significant relationship between PIR and aggregate production. Our results hint at the construction of an early warning system for housing market mispricing. Our tractable formulation of a stochastic money growth rule may carry independent research interest.
出版者	The Institute of Social and Economic Research, Osaka University
収録物名	Institute of Social and Economic Research Discussion Papers
巻(号)	1125
刊行年月	2021-03
言語	英語
ハンドルURL	https://hdl.handle.net/11094/79415
PISSN	0473453X
eISSN	24350982
関連情報 (references)	URI https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2021/DP1125.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Institute of Social and Economic Research Discussion Papers

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Institute of Social and Economic Research Discussion Papers. 2021, 1125
DC.title	The Dynamics of the House Price-to-Income Ratio: Theory and Evidence
DC.creator	Leung, Charles Ka Yui
DC.creator	Tang, Edward Chi Ho
DC.publisher	The Institute of Social and Economic Research, Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2021-03
DC.relation' scheme='DCTERMS.URI	https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2021/DP1125.pdf
DC.subject	housing affordability
	output dynamics
	endogenous house price
	wage rigidity
	monetary policy rule
DCTERMS.abstract	The house price-to-income ratio (PIR) is widely used as an affordability indicator. This paper complements the cross-sectionally focused literature by proposing a tractable model for the PIR dynamics. Our model predicts that the PIR is very persistent and is correlated to the lagged aggregate output. Cross-country analysis confirms this prediction and provides evidence for a long-term, positive and significant relationship between PIR and aggregate production. Our results hint at the construction of an early warning system for housing market mispricing. Our tractable formulation of a stochastic money growth rule may carry independent research interest.
DC.format	79415
citation_title	The Dynamics of the House Price-to-Income Ratio: Theory and Evidence
citation_author	Leung, Charles Ka Yui
citation_author	Tang, Edward Chi Ho
citation_publisher	The Institute of Social and Economic Research, Osaka University
citation_language	英語
citation_date	2021-03
citation_journal_title	Institute of Social and Economic Research Discussion Papers
citation_volume	1125
citation_public_url	https://hdl.handle.net/11094/79415
citation_abstract_html_url	https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2021/DP1125.pdf

The Dynamics of the House Price-to-Income Ratio: Theory and Evidence

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