The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach

Oguzhan Cepni, Rangan Gupta and Mark Wohar ()

No 201936, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper investigates the role of real estate-specific uncertainty in predicting the conditional distribution of US home sales growth over the monthly period of 1970:07 to 2017:12, based on Bayesian Model Averaging (BMA) to account for model uncertainty. After controlling for standard predictors of home sales (housing price, mortgage rate, personal disposable income, unemployment rate, building permits, and housing starts), and macroeconomic and financial uncertainties, our results from the quantile BMA (QBMA) model show that real estate uncertainty has predictive content for the lower and upper quantiles of the conditional distribution of home sales growth.

Keywords: Home Sales; Real Estate Uncertainty; Quantile Regression; Bayesian Model Averaging (search for similar items in EconPapers)
JEL-codes: C11 C22 C53 R31 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2019-05
New Economics Papers: this item is included in nep-bec and nep-ure
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Journal Article: The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach (2020)
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