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Hedonic price–rent ratios, user cost, and departures from equilibrium in the housing market

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  • Hill, Robert J.
  • Syed, Iqbal A.

Abstract

Departures from equilibrium in the housing market can be detected by comparing the actual price–rent ratio with the price–rent ratio derived from the user cost equilibrium condition. The equilibrium price–rent ratio, however, assumes that the sold and rented dwellings being compared are of equal quality, which is typically not the case. Using hedonic methods applied to prices and rents for 730,000 houses in Sydney, Australia, we find that quality-adjusting reduces the actual price–rent ratio by on average 18%. Failure to make such a correction therefore will seriously bias the results towards a finding that the price–rent ratio is above its equilibrium level. We also explore ways of imputing the expected capital gain – a key input into the equilibrium price–rent ratio formula, and show that price–rent ratios (both actual and equilibrium) vary in systematic ways over the housing distribution. This latter result implies that it is not enough to simply focus on the median, as different results may pertain for other quantiles.

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  • Hill, Robert J. & Syed, Iqbal A., 2016. "Hedonic price–rent ratios, user cost, and departures from equilibrium in the housing market," Regional Science and Urban Economics, Elsevier, vol. 56(C), pages 60-72.
  • Handle: RePEc:eee:regeco:v:56:y:2016:i:c:p:60-72
    DOI: 10.1016/j.regsciurbeco.2015.11.001
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    Cited by:

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    2. Waltl, Sofie R., 2018. "Estimating quantile-specific rental yields for residential housing in Sydney," Regional Science and Urban Economics, Elsevier, vol. 68(C), pages 204-225.
    3. Philippe Bracke, 2015. "House Prices and Rents: Microevidence from a Matched Data Set in Central London," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(2), pages 403-431, June.
    4. Robert Hill, 2013. "How Can One Tell When the Housing Market Is Out of Equilibrium?," ERES eres2013_59, European Real Estate Society (ERES).
    5. Kieran McQuinn & Teresa Monteiro & Conor O’Toole, 2021. "House Price Expectations, Labour Market Developments and the House Price to Rent Ratio: A User Cost of Capital Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 25-47, January.
    6. Stefano Colonnello & Roberto Marfè & Qizhou Xiong, 2021. "Housing Yields," Working Papers 2021:21, Department of Economics, University of Venice "Ca' Foscari", revised 2021.
    7. Esmeralda A. Ramalho & Joaquim J. S. Ramalho & Rui Evangelista, 2017. "Combining micro and macro data in hedonic price indexes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(2), pages 317-332, June.
    8. Robert J. Hill & Miriam Steurer & Sofie R. Waltl, 2017. "Owner Occupied Housing in the CPI and Its Impact On Monetary Policy During Housing Booms and Busts," Graz Economics Papers 2017-12, University of Graz, Department of Economics.
    9. Baltagi, Badi H. & Li, Jing, 2015. "Cointegration of matched home purchases and rental price indexes — Evidence from Singapore," Regional Science and Urban Economics, Elsevier, vol. 55(C), pages 80-88.
    10. Tianzheng Zhang & Yingxiang Zeng & Yingjie Zhang & Yan Song & Hongxun Li, 2020. "The Heterogenous Demand for Urban Parks between Home Buyers and Renters: Evidence from Beijing," Sustainability, MDPI, vol. 12(21), pages 1-16, October.
    11. Denisa Naidin & Sofie R. Waltl & Michael Ziegelmeyer, 2022. "Objectified Housing Sales and Rent Prices in Representative Household Surveys: the Impact on Macroeconomic Statistics," LISER Working Paper Series 2022-03, Luxembourg Institute of Socio-Economic Research (LISER).
    12. Allen Head & Huw Lloyd-Ellis & Derek Stacey, 2018. "Heterogeneity, Frictional Assignment and Home-Ownership," Working Papers 070, Ryerson University, Department of Economics, revised Oct 2018.
    13. Andrew Demers & Andrea L. Eisfeldt, 2022. "Total returns to single‐family rentals," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 7-32, March.
    14. Robert J. Hill & Miriam Steurer & Sofie R. Waltl, 2019. "Owner-Occupied Housing, Inflation, and Monetary Policy," Graz Economics Papers 2019-05, University of Graz, Department of Economics.
    15. Philippe Bracke, 2013. "House Prices and Rents: Micro Evidence from a Matched Dataset in Central London_x0003_," ERSA conference papers ersa13p112, European Regional Science Association.
    16. Chen, Jie & Chen, Yu & Hill, Robert J. & Hu, Pei, 2022. "The user cost of housing and the price-rent ratio in Shanghai," Regional Science and Urban Economics, Elsevier, vol. 92(C).
    17. Daniel Melser & Robert J. Hill, 2019. "Residential Real Estate, Risk, Return and Diversification: Some Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 59(1), pages 111-146, July.
    18. Nana Cui & Hengyu Gu & Tiyan Shen & Changchun Feng, 2018. "The Impact of Micro-Level Influencing Factors on Home Value: A Housing Price-Rent Comparison," Sustainability, MDPI, vol. 10(12), pages 1-23, November.
    19. Cigdem Gedikli & Robert Hill & Oleksandr Talavera & Okan Yilmaz, 2022. "The Hidden Cost of Smoking: Rent Premia in the Housing Market," Discussion Papers 22-06, Department of Economics, University of Birmingham.
    20. Ryan Fox & Peter Tulip, 2014. "Is Housing Overvalued?," RBA Research Discussion Papers rdp2014-06, Reserve Bank of Australia.
    21. Goeyvaerts, Geert & Buyst, Erik, 2019. "Do market rents reflect user costs?," Journal of Housing Economics, Elsevier, vol. 44(C), pages 112-130.
    22. Liu, Xiangling, 2019. "The income elasticity of housing demand in New South Wales, Australia," Regional Science and Urban Economics, Elsevier, vol. 75(C), pages 70-84.
    23. Marina Gindelsky & Jeremy G. Moulton & Scott A. Wentland, 2020. "Valuing Housing Services in the Era of Big Data: A User Cost Approach Leveraging Zillow Microdata," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 339-370, National Bureau of Economic Research, Inc.

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    More about this item

    Keywords

    Housing market; Price–rent ratio; User cost; Quality adjustment; Capital gains; Depreciation;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • 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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