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

机译：测试16个经合组织国家的住房价格收入比和价格租金比的持久性

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摘要

Housing 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.
机译：住房价格对收入和价格对租金的比率是对住房市场状况进行最广泛监测的指标之一。尽管这些比率在长期内倾向于围绕恒定水平或温和趋势波动，但在长期内它们也倾向于偏离这些基准。传统的单位根测试通常表明存在单位根。本文使用分数整合的框架来测试跨越四个十年的16个经合组织国家样本中的价格收入比和价格租金比的持久性。结果表明该比率是高度持久的。还考虑了持久性估计值可能受该系列中的结构性中断影响的可能性，但是只有在非常少数的情况下才能找到这种中断的证据。如果高的价格收入比和价格租金比对社会和经济产生不利影响，则可能需要采取政策行动。政策应以对高比率背后的因素的仔细分析为指导。

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