Leading indicators for US house prices: New evidence and implications for EU financial risk managers

被引：11

作者：

Rodriguez Gonzalez, Miguel ^{[1
]}

Basse, Tobias ^{[2
,3
]}

Saft, Danilo ^{[2
,4
]}

Kunze, Frederik ^{[2
]}

机构：

[1] Leibniz Univ Hannover, Ctr Risk & Insurance, Otto Brenner Str 7, D-30159 Hannover, Germany

[2] Norddeutsche Landesbank Girozent, Hannover, Germany

[3] Touro Coll Berlin, Berlin, Germany

[4] Ilmenau Tech Univ, Grp Serv Informat Syst Engn, Dept Econ Sci & Media, Ilmenau, Germany

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2022年 / 28卷 / 03期

关键词：

financial risk management; leading indicators; machine learning; transfer entropy; US house prices; SENTIMENT INDICATORS; CAUSALITY ANALYSIS; GRANGER CAUSALITY; SYSTEMIC RISK; SOVEREIGN; CRISIS; POLICY; GROWTH; TESTS;

D O I：

10.1111/eufm.12325

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study draws on machine learning as a means to causal inference for econometric investigation. We utilize the concept of transfer entropy to examine the relationship between the US National Association of Home Builders Index and the S&P CoreLogic Case-Shiller 20 City Composite Home Price Index (SPCS20). The empirical evidence implies that the survey data can help to predict US house prices. This finding extends the results of Granger causality tests performed by Rodriguez Gonzalez et al. in 2018 using a new machine learning approach that methodologically differs from traditional methods in empirical financial research.

引用

页码：722 / 743

页数：22

共 32 条

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