Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.11861/7051
Title: The dynamics of the house price-to-income ratio: Theory and evidence
Authors: Leung, Charles Ka Yui 
Dr. TANG Chi Ho, Edward 
Issue Date: 2023
Source: Contemporary Economic Policy, Jan. 2023, Vol. 41(1), pp. 61-78.
Journal: Contemporary Economic Policy 
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.
Type: Peer Reviewed Journal Article
URI: http://hdl.handle.net/20.500.11861/7051
ISSN: 1465-7287
10743529
DOI: 10.1111/coep.12538
Appears in Collections:Economics and Finance - Publication

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