Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries

dc.contributor.authorAndré, Christophe
dc.contributor.authorGil-Alana, Luis A.
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_US
dc.date.accessioned2014-06-06T06:17:59Z
dc.date.issued2014
dc.description.abstractHousing 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 article 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 countries spanning four decades. The results indicate that the ratios are highly persistent. The possibility that persistence estimates may be affected by structural breaks in the series is also considered, but evidence of such breaks is found only in a very limited number of cases. Policy action may be required if high price-to-income and price-to-rent ratios have adverse social and economic consequences. Policies should be guided by a careful analysis of the factors behind high ratios.en_US
dc.description.librarianhb2014en_US
dc.description.urihttp://www.tandfonline.com/loi/raec20en_US
dc.identifier.citationChristophe André, Luis A. Gil-Alana & Rangan Gupta (2014) Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries, Applied Economics, 46:18, 2127-2138, DOI: 10.1080/00036846.2014.896988en_US
dc.identifier.issn0003-6846 (print)
dc.identifier.issn1466-4283 (online)
dc.identifier.other10.1080/00036846.2014.896988
dc.identifier.urihttp://hdl.handle.net/2263/40016
dc.language.isoenen_US
dc.publisherRoutledgeen_US
dc.rights© 2014 Taylor & Francis. This is an electronic version of an article published in Applied Economics, vol. 46, no.18, pp. 2127-2138, 2014. doi : 10.1080/00036846.2014.896988 Applied Economics is available online at : http://www.tandfonline.com/loi/raec20en_US
dc.subjectHousingen_US
dc.subjectPrice-to-income ratioen_US
dc.subjectPrice-to-rent ratioen_US
dc.subjectFractional integrationen_US
dc.subjectPersistenceen_US
dc.subjectLong memoryen_US
dc.titleTesting for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countriesen_US
dc.typePostprint Articleen_US

Files

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description: