Forecasting Interconnections in International Housing Markets: Evidence from the Dynamic Model Averaging Approach

被引:0
|
作者
Marfatia, Hardik A. [1 ]
机构
[1] NE Illinois Univ, Chicago, IL 60625 USA
关键词
global housing markets; house price forecasting; dynamic model averaging; time-varying parameter model; PRICES; CYCLES; COINTEGRATION; FLUCTUATIONS; VOLATILITIES; PERFORMANCE; LESSONS; IMPACT;
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In this paper, I undertake a novel approach to uncover the forecasting interconnections in the international housing markets. Using a dynamic model averaging framework that allows both the coefficients and the entire forecasting model to dynamically change over time, I uncover the intertwined forecasting relationships in 23 leading international housing markets. The evidence suggests significant forecasting interconnections in these markets. However, no country holds a constant forecasting advantage, including the United States and the United Kingdom, although the U.S. housing market's predictive power has increased over time. Evidence also suggests that allowing the forecasting model to change is more important than allowing the coefficients to change over time.
引用
收藏
页码:37 / 103
页数:67
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