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Ghysels, Eric - 2013

the ability of local as well as aggregate variables to forecast real estate returns. We illustrate a number of these …

Persistent link: https://www.econbiz.de/10013083614

Can Google Trends Actually Improve Housing Market Forecasts?

Limnios, Christopher; You, Hao - 2018

We augment linear pricing models for the housing market commonly used in the literature with google trends data in order to assess whether or not crowd-sourced search query data can improve the forecasting ability of the models. We compare various performance measures of the augmented linear...

Persistent link: https://www.econbiz.de/10014123760

A Study on the Volatility Forecast of the US Housing Market in the 2008 Crisis

Li, Kui-Wai - 2015

This article provides the in-sample estimation and evaluates the out-of-sample conditional mean and volatility forecast …-sample estimation but poorly in the out-of-sample forecast. For the post-crisis out-of-sample forecasts, all models naturally performed … poorly in conditional mean and volatility forecast …

Persistent link: https://www.econbiz.de/10013012057

The importance of economic variables on London real estate market : a random forest approach

Levantesi, Susanna; Piscopo, Gabriella - In: Risks : open access journal 8 (2020) 4/112, pp. 1-17

This paper follows the recent literature on real estate price prediction and proposes to take advantage of machine learning techniques to better explain which variables are more important in describing the real estate market evolution. We apply the random forest algorithm on London real estate...

Persistent link: https://www.econbiz.de/10012385136

The Impact of different Financial Intermediaries on Housing Market Cycles

Braun, Julia; Burghof, Hans-Peter; Sommervoll, Dag Einar; … - 2021

Housing markets display several correlations to multiple economic sectors of an economy. Their enormous impact on economies’ health, wealth, and stability is uncontroversial. Interestingly, the forms of financing residential property vary widely between the different countries in terms of...

Persistent link: https://www.econbiz.de/10013312822

Predicting Returns and Rent Growth in the Housing Market Using the Rent-to-Price Ratio : Evidence from the OECD Countries

Engsted, Tom - 2015

We conduct a comprehensive international study of predictability in housing markets using the rent-price ratio as a predictive variable. On data from 18 OECD countries we generally find return predictability in accordance with time-varying risk-premia, but we also document two puzzles. First,...

Persistent link: https://www.econbiz.de/10013036157

Can Owning a Home Hedge the Risk of Moving?

Sinai, Todd M. - 2011

Conventional wisdom holds that one of the riskiest aspects of owning a house is the uncertainty surrounding its sale price, especially if one moves to another housing market. However, households who sell a house typically buy another house, whose purchase price is also uncertain. We show that...

Persistent link: https://www.econbiz.de/10013134244

Solutions to the Inflation-Induced Instability in Housing Markets

Barrull, Xavier - 2011

We use a model and show how inflation and mortgage loans based on nominal interest rates (NRMs), like FRMs, ARMs or IOs, are a source of instability for housing markets. NRMs allocate risk inappropriately and cause economic tensions due to the tilt effect (Lessard and Modigliani, 1975), the...

Persistent link: https://www.econbiz.de/10013120366

Momentum Traders in the Housing Market : Survey Evidence and a Search Model

Piazzesi, Monika - 2009

This paper studies household beliefs during the recent US housing boom. To characterize the heterogeneity in households' views about housing and the economy, we perform a cluster analysis on survey responses at different stages of the boom. The estimation always finds a small cluster of...

Persistent link: https://www.econbiz.de/10013158768

Superstar returns

Osswald do Amaral, Francisco; Dohmen, Martin; Kohl, … - 2021

We study long-term returns on residential real estate in twenty-seven "superstar" cities in fifteen countries over 150 years. We find that total returns in superstar cities are close to 100 basis points lower per year than in the rest of the country. House prices tend to grow faster in the...

Persistent link: https://www.econbiz.de/10012797899

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