The Long‐Run Relationship Between House Prices and Rents
研究了租金-价格比对未来实际租金和价格变化的预测能力，发现该比率能预测4年期的实际价格变化，但对租金变化预测力弱，并修正了长视界回归的估计偏差。
I use standard error‐correction models and long‐horizon regression models to examine how well the rent–price ratio predicts future changes in real rents and prices. I find evidence that the rent–price ratio helps predict changes in real prices over 4‐year periods, but that the rent–price ratio has little predictive power for changes in real rents over the same period. I show that a long‐horizon regression approach can yield biased estimates of the degree of error correction if prices have a unit root but do not follow a random walk, and I construct bootstrap distributions to conduct appropriate inference in the presence of this bias. The results lend empirical support to the view that the rent–price ratio is an indicator of valuation in the housing market.