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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