The Long‐Run Relationship Between House Prices and Rents
Author
Abstract
Suggested Citation
DOI: 10.1111/j.1540-6229.2008.00225.x
Download full text from publisher
References listed on IDEAS
- Martin Lettau & Stijn Van Nieuwerburgh, 2008.
"Reconciling the Return Predictability Evidence,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Clark, Todd E., 1995. "Rents and prices of housing across areas of the United States. A cross-section examination of the present value model," Regional Science and Urban Economics, Elsevier, vol. 25(2), pages 237-247, April.
- Theodore M. Crone & Leonard I. Nakamura & Richard Voith, 2004. "Hedonic estimates of the cost of housing services: rental and owner-occupied units," Working Papers 04-22, Federal Reserve Bank of Philadelphia.
- Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Hodrick, Robert J, 1992.
"Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement,"
The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-386.
- Tom Doan, "undated". "OLSHODRICK: RATS procedure to compute Hodrick standard errors," Statistical Software Components RTS00147, Boston College Department of Economics.
- Meese Richard & Wallace Nancy, 1994. "Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco?," Journal of Urban Economics, Elsevier, vol. 35(3), pages 245-266, May.
- David E. Lebow & Jeremy B. Rudd, 2003. "Measurement Error in the Consumer Price Index: Where Do We Stand?," Journal of Economic Literature, American Economic Association, vol. 41(1), pages 159-201, March.
- Todd Sinai & Nicholas S. Souleles, 2005.
"Owner-Occupied Housing as a Hedge Against Rent Risk,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(2), pages 763-789.
- Todd Sinai & Nicholas S. Souleles, 2003. "Owner-Occupied Housing as a Hedge Against Rent Risk," NBER Working Papers 9462, National Bureau of Economic Research, Inc.
- Todd M. Sinai & Nicholas S. Souleles, 2005. "Owner-occupied housing as a hedge against rent risk," Working Papers 05-10, Federal Reserve Bank of Philadelphia.
- Karl E. Case & Robert J. Shiller, 1990.
"Forecasting Prices and Excess Returns in the Housing Market,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(3), pages 253-273, September.
- Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," NBER Working Papers 3368, National Bureau of Economic Research, Inc.
- Jushan Bai & Pierre Perron, 2003.
"Computation and analysis of multiple structural change models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, "undated". "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, "undated". "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- Gatzlaff, Dean H & Haurin, Donald R, 1997. "Sample Selection Bias and Repeat-Sales Index Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 33-50, Jan.-Marc.
- Davis, Morris A. & Heathcote, Jonathan, 2007.
"The price and quantity of residential land in the United States,"
Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2595-2620, November.
- Morris A. Davis & Jonathan Heathcote, 2004. "The price and quantity of residential land in the United States," Finance and Economics Discussion Series 2004-37, Board of Governors of the Federal Reserve System (U.S.).
- Heathcote, Jonathan & Davis, Morris, 2005. "The Price and Quantity of Residential Land in the United States," CEPR Discussion Papers 5333, C.E.P.R. Discussion Papers.
- Jonathan Heathcote & Morris Davis, 2004. "The Price and Quantity of Residential Land in the United States," 2004 Meeting Papers 32, Society for Economic Dynamics.
- Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-218, March.
- Michelle H. Dreiman & Anthony Pennington-Cross, 2004.
"Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices,"
The Journal of Real Estate Finance and Economics, Springer, vol. 28(4), pages 299-317, May.
- Anthony Pennington-Cross & Michelle H. Dreiman, 2002. "Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices," FHFA Staff Working Papers 02-02, Federal Housing Finance Agency.
- Case, Bradford & Pollakowski, Henry O & Wachter, Susan M, 1997. "Frequency of Transaction and House Price Modeling," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 173-187, Jan.-Marc.
- David L. Reifschneider & Robert J. Tetlow & John Williams, 1999. "Aggregate disturbances, monetary policy, and the macroeconomy: the FRB/US perspective," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), vol. 85(Jan), pages 1-19, January.
- Mankiw, N. Gregory & Weil, David N., 1989.
"The baby boom, the baby bust, and the housing market,"
Regional Science and Urban Economics, Elsevier, vol. 19(2), pages 235-258, May.
- N. Gregory Mankiw & David N. Weil, 1988. "The Baby Boom, The Baby Bust, and the Housing Market," NBER Working Papers 2794, National Bureau of Economic Research, Inc.
- Alberto Plazzi & Walter Torous & Rossen Valkanov, 2010. "Expected Returns and Expected Growth in Rents of Commercial Real Estate," The Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3469-3519.
- Sean D. Campbell & Morris A. Davis & Joshua H. Gallin & Robert F. Martin, 2006. "A trend and variance decomposition of the rent-price ratio in housing markets," Finance and Economics Discussion Series 2006-29, Board of Governors of the Federal Reserve System (U.S.).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Joshua H. Gallin, 2004. "The long-run relationship between house prices and rents," Finance and Economics Discussion Series 2004-50, Board of Governors of the Federal Reserve System (U.S.).
- Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
- Narayan, Seema & Smyth, Russell, 2015.
"The financial econometrics of price discovery and predictability,"
International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
- Seema Narayan & Russell Smyth, 2015. "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers 06-15, Monash University, Department of Economics.
- Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
- Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023.
"Transformed regression-based long-horizon predictability tests,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert, 2022. "Transformed Regression-based Long-Horizon Predictability Tests," Essex Finance Centre Working Papers 30620, University of Essex, Essex Business School.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2022.
"Testing for episodic predictability in stock returns,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 85-113.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers 24137, University of Essex, Essex Business School.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2019. "Testing for Episodic Predictability in Stock Returns," Working Papers w201906, Banco de Portugal, Economics and Research Department.
- 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.
- Badi H. Baltagi & Jing Li, 2015. "Cointegration of Matched Home Purchases and Rental Price Indexes: Evidence from Singapore," Center for Policy Research Working Papers 185, Center for Policy Research, Maxwell School, Syracuse University.
- Jing Li & Badi Baltagi, 2015. "Cointegration of Matched Home Purchases and Rental Price Indexes - Evidence from Singapore," ERSA conference papers ersa15p571, European Regional Science Association.
- Badi H. Baltagi & Jing Li, 2015. "Cointegration of Matched Home Purchases and Rental Price Indexes - Evidence from Sinpagore," CESifo Working Paper Series 5559, CESifo.
- , & Stein, Tobias, 2021.
"Equity premium predictability over the business cycle,"
CEPR Discussion Papers
16357, C.E.P.R. Discussion Papers.
- Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
- Luo, Shikong & Yan, Xinyan & Yang, Haoyi, 2021. "Let’s take a smooth break: Stock return predictability revisited," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 300-314.
- Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
- Garner, Thesia I. & Verbrugge, Randal, 2009.
"Reconciling user costs and rental equivalence: Evidence from the US consumer expenditure survey,"
Journal of Housing Economics, Elsevier, vol. 18(3), pages 172-192, September.
- Randal Verbrugge & Thesia I. Garner, 2009. "Reconciling User Costs and Rental Equivalence: Evidence from the U.S. Consumer Expenditure Survey," Working Papers 427, U.S. Bureau of Labor Statistics.
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2017.
"Further evidence on bear market predictability: The role of the external finance premium,"
International Review of Economics & Finance, Elsevier, vol. 50(C), pages 106-121.
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
- Ambrose, Brent W. & Coulson, N. Edward & Yoshida, Jiro, 2017. "Inflation Rates Are Very Different When Housing Rents Are Accurately Measured," HIT-REFINED Working Paper Series 71, Institute of Economic Research, Hitotsubashi University.
- Capozza, Dennis R. & Seguin, Paul J., 1996.
"Expectations, efficiency, and euphoria in the housing market,"
Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 369-386, June.
- Dennis R. Capozza & Paul J. Seguin, 1995. "Expectations, Efficiency, and Euphoria in the Housing Market," NBER Working Papers 5179, National Bureau of Economic Research, Inc.
- Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
- Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
- Clark, Todd E. & McCracken, Michael W., 2006.
"The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1127-1148, August.
- Todd E. Clark & Michael W. McCracken, 2003. "The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence," Research Working Paper RWP 03-06, Federal Reserve Bank of Kansas City.
- Michael W. McCracken & Todd E. Clark, 2003. "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Computing in Economics and Finance 2003 183, Society for Computational Economics.
- Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
- Nan-Kuang Chen & Han-Liang Cheng & Ching-Sheng Mao, 2014. "Identifying and forecasting house prices: a macroeconomic perspective," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2105-2120, December.
- Randal Verbrugge, 2008.
"The Puzzling Divergence Of Rents And User Costs, 1980–2004,"
Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 54(4), pages 671-699, December.
- Randal Verbrugge, 2009. "The Puzzling Divergence of Rents and User Costs, 1980-2004," Working Papers 422, U.S. Bureau of Labor Statistics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:36:y:2008:i:4:p:635-658. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/areueea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.