Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment

Christian Pierdzioch

Review of Economics & Finance, 2012, vol. 2, 87-96

Abstract: Based on a recursive forecasting approach, this research studies whether macro- economic factors help to forecast excess returns on a real-estate-based German stock market index. Key findings are that macroeconomic factors are often included in the optimal forecasting model, that their relative importance often differs from their importance for forecasting a broad stock-market index, and that their informational content for forecasting excess returns seems to undergo temporal shifts. This research also finds evidence of market timing.

Keywords: Real estate market; Stock market; Forecasting; Macroeconomic factors (search for similar items in EconPapers)
JEL-codes: E37 G17 (search for similar items in EconPapers)
Date: 2012
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