Forecasting house-price growth in the Euro area with dynamic model averaging

Marian Risse and Martin Kern

The North American Journal of Economics and Finance, 2016, vol. 38, issue C, 70-85

Abstract: We use a dynamic modeling and selection approach for studying the informational content of various macroeconomic, monetary, and demographic fundamentals for forecasting house-price growth in the six largest countries of the European Monetary Union. The approach accounts for model uncertainty and model instability. We find superior performance compared to various alternative forecasting models. Plots of cumulative forecast errors visualize the superior performance of our approach, particularly after the recent financial crisis.

Keywords: House prices; Dynamic model averaging; Forecasting; Europe (search for similar items in EconPapers)
JEL-codes: C32 C53 R30 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940816300730
Full text for ScienceDirect subscribers only

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:eee:ecofin:v:38:y:2016:i:c:p:70-85

DOI: 10.1016/j.najef.2016.08.001

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().