租售比与宏观经济因素之间的因果关系:英国视角

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2022-02-02 DOI:10.1108/jpif-08-2021-0068
D. Lo, M. McCord, P. Davis, J. McCord, Martin Haran
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引用次数: 6

摘要

目的房价租金比是衡量住房市场状况最广泛使用的指标之一。鉴于住房市场、更广泛的经济和金融市场决定因素之间存在理论上和明显的双向因果关系和不平衡,理解宏观和微观经济特征与P-t-R比率之间的关系对于增强对住房市场动态的理解很重要。本文研究了房价和租金的共同动态和持续性,并考察了P-t-R比率与经济和金融决定因素的时间相互作用。设计/方法论/方法作者使用协整和因果关系方法研究了P-t-R比率与一系列宏观经济变量之间的超前-滞后关系,最初是在北爱尔兰住房市场的总头寸以及不同住房类型,以确定不同住房部门对经济活动和市场基本面变化的反应是否存在细微差异。研究结果揭示了价格转换动态,以及宏观经济和金融指标与不同住房部门的P-t-R比率之间的一些非常明显的长期和短期关系。研究结果表明,货币供应、外汇市场和股票市场是P-t-R比率的重要驱动因素,P-t-R的变动似乎与整体经济,特别是建筑业密切相关。实际含义研究表明,P-t-R比率可以作为确定宏观审慎政策变化影响的早期指标,以及这些变化如何在住房等级和质量中表现出来,这可以进一步作为预防或至少缓解未来非理性价格周期性的信号。这些见解有助于为住房和经济政策以及宏观审慎政策设计提供信息,主要是在贷款政策和监管干预的效果范围内,并进一步增强对P-t-R比率对住房市场结构和动态的理解。独创性/价值这项研究是住房文献中第一次在次级市场层面考察P-t-R比率与宏观经济活动之间的因果关系。它调查了货币供应量、通货膨胀、外汇市场、总体经济生产力和其他重要的宏观经济因素是否以及如何随着时间的推移与不同房地产类型的定价相互作用。
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Causal relationships between the price-to-rent ratio and macroeconomic factors: a UK perspective
PurposeHouse price-to-rent (P-t-R) ratios are among the most widely used measures of housing market conditions. Given the theoretical and apparent bidirectional, causal relationships and imbalances between the housing market, broader economy and financial market determinants, it is important to understand the relationship between macro- and micro-economic characteristics in relation to the P-t-R ratio to enhance the understanding of housing market dynamics. This paper studies the joint dynamics and persistence of house prices and rents and examines the temporal interactions of the P-t-R ratio and economic and financial determinants.Design/methodology/approachThe authors examine the lead–lag relationships between the P-t-R ratios and a spectrum of macroeconomic variables using cointegration and causality methods, initially at the aggregate position and also across housing types within the Northern Ireland housing market to establish whether there are subtle differences in how various housing segments react to changes in economic activity and market fundamentals.FindingsThe findings reveal price switching dynamics and some very distinct long- and short-run relationships between macroeconomic and financial indicators and the P-t-R ratios across the various housing segments. The results exhibit monetary supply, foreign exchange markets and the stock market to be important drivers of the P-t-R ratio, with P-t-R movements seemingly tied, or are in tandem, with the overall economy, particularly with the construction sector.Practical implicationsThe study shows that the P-t-R ratio can be used as an early measure for establishing the effects of macroprudential policy changes and how these may manifest across housing tiers and quality, which can further act as a signal for preventing or at least mitigating future irrational price cyclicity. These insights serve to inform housing and economic policy and macroprudential policy design, principally within lending policy and the effect of regulatory interventions and further enhance the understanding of the P-t-R ratio on housing market structure and dynamics.Originality/valueThis study is the first in the housing literature that examines the causal relationships between the P-t-R ratio and macroeconomic activity at the sub-market level. It investigates whether and how money supply, inflation, foreign exchange markets, general economic productivity and other important macroeconomic factors interact with the pricing of different property types over time.
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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