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Testing for predictive power of price/rent ratio for determining house prices in OECD countries

Buzynnyk, Anastasiia; Somyk, Kateryna
Master thesis
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URI
http://hdl.handle.net/11250/2577803
Date
2018
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  • Master of Science [1116]
Abstract
We study the predictability of price and rent changes by rent-to-price ratio

for 20 OECD countries over the period 1970 to 2017. To investigate the

relationship we used Vector Error-Correction Model (VECM) and long-horizon

model. We constructed bootstrapping procedures to address the issues of biased

estimates from the long-horizon model. First, we found that for most countries

prices do all the correcting over the long-run time range. Second, there are

significant cross-country differences in how rent-to-price ratio defines future rent

growth. Third, both models showed completely different results. We concluded

that rent-to-price ratio is not a complete predictor of price and rents formations on

these markets.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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