A dynamic factor model for forecasting house prices in Belgium

Marina Emiris ()
Additional contact information
Marina Emiris: Economics and Research Department, National Bank of Belgium

No 313, Working Paper Research from National Bank of Belgium

Abstract: The paper forecasts the residential property price index in Belgium with a dynamic factor model (DFM) estimated with a dataset of macro-economic variables describing the Belgian and euro area economy. The model is validated with out-of-sample forecasts which are obtained recursively over an expanding window over the period 2000q1-2012q4. We illustrate how the model reads information from mortgage loans, interest rates, GDP and inflation to revise the residential property price forecast as a result of a change in assumptions for the future paths of these variables

Keywords: dynamic factor model; conditional forecast; house prices (search for similar items in EconPapers)
JEL-codes: C53 E32 G21 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2016-11
New Economics Papers: this item is included in nep-for, nep-mac and nep-ure
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.nbb.be/doc/ts/publications/wp/wp313en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:201611-313

Access Statistics for this paper

More papers in Working Paper Research from National Bank of Belgium Contact information at EDIRC.
Bibliographic data for series maintained by ().