A very helpful recent report provides data on the affordability of housing in more than 200 urban areas by calculating the ratio of the median house price to the median household income (e.g., if the average house price is 200K and the average household income is 50K, you'd get a ratio of 4.0).

In general NZ is much more expensive (6.3 average for the 7 cities included) than Canada (3.1 overall). However, there are large city-to-city differences, particularly in Canada. Where I live, in Winnipeg, the ratio is 2.7, but Vancouver is 8.4 and Victoria is 7.3. Tauranga, the most expensive of the 7 cities listed for NZ is 7.5, and Dunedin, the least, is 5.3 (Auckland is 6.7). If you really want to live where housing is expensive, go to Los Angeles (11.5!). In most cases a NZ city would be more expensive than a Canadian city. However, there would be exceptions. If you move from Vancouver to Dunedin, you'd find housing relatively more affordable in Dunedin (assuming you had the same relative income in both places).

If you want to find the full report, just google "Demographia international housing". The tables include the median house prices and median incomes for each of the surveyed cities, so it's interesting to check out different locations.