The Power of a Leading Indicators Fluctuation Trend for Forecasting Taiwans Real Estate Business Cycle: An Application of a Hidden Markov Model

Yun-Ling Wu, Cheng-Huang Tung and Chun-Chang Lee

Asian Economic and Financial Review, 2017, vol. 7, issue 1, 81-98

Abstract: This paper employ the discrete hidden Markov model (HMM) in order to capture information about the Markov switching model’s inner states that is not directly observable, and to pre-detect the real estate business cycle’s volatility trend. The empirical results show that this HMM can capture the asymmetry in the duration of states. Compared with the real estate leading indicator announced by the Taiwan Real Estate Research Center, this HMM yields the same results in terms of forecasting the trends of cycle fluctuations. The explanatory power of the HMM in 4-steps out-of-sample forecasting is supported both conceptually and methodologically.

Keywords: Real estate cycle; Real estate cycle leading indicator; Asymmetry; Duration; Hidden Markov model; Taiwan real estate research center. (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/1541/2191 (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:asi:aeafrj:v:7:y:2017:i:1:p:81-98:id:1541

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().