Title

Forecasting House Prices in OECD Economies

Document Type

Article

Publication Date

2017

Abstract

In this paper, we forecast real house price growth of 16 OECD countries using information from domestic macroeconomic indicators and global measures of the housing market. Consistent with the findings for the US housing market, we find that the forecasts from an autoregressive model dominate the forecasts from the random walk model for most of the countries in our sample. More importantly, we find that the forecasts from a bivariate model that includes economically important domestic macroeconomic variables and two global indicators of the housing market significantly improve upon the univariate autoregressive model forecasts. Among all the variables, the mean square forecast error from the model with the country's domestic interest rates has the best performance for most of the countries. The country's income, industrial production, and stock markets are also found to have valuable information about the future movements in real house price growth. There is also some evidence supporting the influence of the global housing price growth in out‐of‐sample forecasting of real house price growth in these OECD countries.

Version

The version available here is an abstract. Please click the link on the right side of the page to access the full-text.

DOI

https://doi.org/10.1002/for.2483

Publication Title

Journal of Forecasting

Volume Number

37

Issue Number

2

First Page

170

Last Page

190

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