Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries
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DOI: 10.1016/j.jimonfin.2015.02.001
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- Tom Engsted & Thomas Q. Pedersen, 2012. "Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries," CREATES Research Papers 2012-58, Department of Economics and Business Economics, Aarhus University.
References listed on IDEAS
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Citations
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Cited by:
- Gelain, Paolo & Lansing, Kevin J., 2014.
"House prices, expectations, and time-varying fundamentals,"
Journal of Empirical Finance, Elsevier, vol. 29(C), pages 3-25.
- Paolo Gelain & Kevin J. Lansing, 2013. "House Prices, Expectations, and Time-Varying Fundamentals," Working Paper Series 2013-03, Federal Reserve Bank of San Francisco.
- Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
- Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016.
"Explosive bubbles in house prices? Evidence from the OECD countries,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
- Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015. "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers 2015-01, Department of Economics and Business Economics, Aarhus University.
- John C. Williams, 2013.
"Bubbles tomorrow and bubbles yesterday, but never bubbles today?,"
FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sept23.
- John C. Williams, 2013. "Bubbles tomorrow and bubbles yesterday, but never bubbles today?," Speech 122, Federal Reserve Bank of San Francisco.
- Bago, Jean-Louis & Akakpo, Koffi & Rherrad, Imad & Ouédraogo, Ernest, 2020. "Volatility Spillover and International Contagion of Housing Bubbles," MPRA Paper 100098, University Library of Munich, Germany.
- Tsai, I-Chun & Chiang, Shu-Hen, 2019. "Exuberance and spillovers in housing markets: Evidence from first- and second-tier cities in China," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 75-86.
- Engsted, Tom & Pedersen, Thomas Q., 2014.
"Housing market volatility in the OECD area: Evidence from VAR based return decompositions,"
Journal of Macroeconomics, Elsevier, vol. 42(C), pages 91-103.
- Tom Engsted & Thomas Q. Pedersen, 2013. "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," CREATES Research Papers 2013-04, Department of Economics and Business Economics, Aarhus University.
- Glenn Otto & Nigel Stapledon, 2017. "How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets," Discussion Papers 2017-01, School of Economics, The University of New South Wales.
- Floro, Danvee, 2019. "Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 164-181.
- Bauer, Gregory H., 2017. "International house price cycles, monetary policy and credit," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 88-114.
- Bago, Jean-Louis & Souratié, Wamadini M. & Ouédraogo, Moussa & Ouédraogo, Ernest & Dembélé, Alou, 2019. "Financial Bubbles : New Evidence from South Africa’s Stock Market," MPRA Paper 95685, University Library of Munich, Germany.
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More about this item
Keywords
Housing market predictability; Dynamic Gordon growth model; Rent-price ratio; VAR model; Expectations; Money illusion; OECD countries;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
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