In this paper, we adopt the present-value model for the housing market to explain the relationship between expected future housing returns and expected future income growth in 21 OECD countries by using quarterly data over the period 1975–2019. By conducting the state-space approach, we use historical information of price-income ratios to predict unobserved components of the future income growth and housing returns. The evidence suggests that both expected income growth and expected housing returns are significant in explaining movements in the price-income ratio, while there is a heterogeneity among all countries. Further, we find a positive correlation between expected income growth and expected housing returns among all countries. The results of the variance decomposition of the present-value of price-income ratios also show that the most variation in the present-value components is explained in the housing return.

在本文中，我们采用住房市场的现值模型，通过使用 1975-2019 年期间的季度数据来解释 21 个 OECD 国家的预期未来住房回报与预期未来收入增长之间的关系。通过进行状态空间方法，我们使用价格收入比的历史信息来预测未来收入增长和住房回报中未观察到的组成部分。证据表明，预期收入增长和预期住房回报在解释价格收入比变动方面具有重要意义，而所有国家之间存在异质性。此外，我们发现所有国家的预期收入增长与预期住房回报之间存在正相关关系。