Forecasting Real Estate Prices

Eric Ghysels, Alberto Plazzi, Rossen Valkanov and Walter Torous

Chapter Chapter 9 in Handbook of Economic Forecasting, 2013, vol. 2, pp 509-580 from Elsevier

Abstract: This chapter reviews the evidence of predictability in U.S. residential and commercial real estate markets. First, we highlight the main methodologies used in the construction of real estate indices, their underlying assumptions and their impact on the stochastic properties of the resultant series. We then survey the key empirical findings in the academic literature, including short-run persistence and long-run reversals in the log changes of real estate prices. Next, we summarize the ability of local as well as aggregate variables to forecast real estate returns. We illustrate a number of these results by relying on six aggregate indexes of the prices of unsecuritized (residential and commercial) real estate and REITs. The effect of leverage and monetary policy is also discussed.

Keywords: Real estate; Predictability; Market efficiency; REIT (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (70)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofch:2-509

DOI: 10.1016/B978-0-444-53683-9.00009-8

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