A dynamic factor model for forecasting house prices in Belgium
The paper forecasts the residential property price index in Belgium with a dynamic factor model (DFM) estimated with a dataset of macro-economic variables describing the Belgian and euro area economy. The model is validated with out-of-sample forecasts which are obtained recursively over an expanding window over the period 2000q1-2012q4. We illustrate how the model reads information from mortgage loans, interest rates, GDP and inflation to revise the residential property price forecast as a result of a change in assumptions for the future paths of these variables.
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Dokumenttyp: | doc-type:workingPaper |
Erscheinungsdatum: | 2016 |
Verlag/Hrsg.: |
Brussels: National Bank of Belgium
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Schlagwörter: | ddc:330 / E32 / G21 / C53 / dynamic factor model / conditional forecast / house prices / Immobilienpreis / Prognose / CGE-Modell / Belgien |
Sprache: | Englisch |
Permalink: | https://search.fid-benelux.de/Record/base-26996987 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://hdl.handle.net/10419/173769 |