Figures & data
Figure 1. Quarterly repeat sales index 1990Q1 to 2020Q4 with 1990Q1 = 1. Source: Author calculations. Due to data unavailability, inflation in REINZ monthly median sales price is used to impute index values between 2020Q1 and 2020Q4, using the middle month of each quarter.
Figure 2. Quarterly price-rent (PR) ratios and annual price-income (PI) ratios for Auckland and Wellington. PR ratios span 1990Q1 to 2020Q4. PI ratios span 2010 to 2019. PI ratios obtained from Demographia annual reports, 2011 to 2019. Regional median rents obtained from Ministry of Business, Innovation and Employment. A four-quarter backwards moving average is applied to rents to smooth-out seasonal effects.
Figure 3. Phillips, Shi, and Yu (Citation2015a, Citation2015b, PSY) backwards supADF recursive test statistics (unbroken lines) for Auckland (left) and Wellington (right) log price-rent ratios. The corresponding recursive 5% critical value (cv) curves are shown by the broken lines. Shaded regions indicate periods during which the statistics exceed the cv and indicate explosive behaviour in the price-rent ratio. For Auckland, the test-statistic exceeds the 5% critical value between 2004 and 2008 and between 2015 and 2018, indicating exuberance during these periods. The test statistic is marginally below the 5% cv in final quarter of 2020. For Wellington, the test-statistic exceeds the 5% critical value between 2002 and 2009, between 2017 and 2019, and in the final quarter of 2020. Following PSY, the minimum window size fraction used in the recursions was set to 0.01 + 1.8/, or 20 observations, where T is the sample size.
Figure 4. Monthly interest rates, January 2004 to November 2020; Source: RBNZ.
