Title

Forecasting inter connections in international housing markets: Evidence from the dynamic model averaging approach

Document Type

Article

Publication Date

1-1-2020

Abstract

In this paper, I undertake a novel approach to uncover the forecasting interconnections in the international housing markets. Using a dynamic model averaging framework that allows both the coefficients and the entire forecasting model to dynamically change over time, I uncover the intertwined forecasting relationships in 23 leading international housing markets. The evidence suggests significant forecasting interconnections in these markets. However, no country holds a constant forecasting advantage, including the United States and the United Kingdom, although the U.S. housing market’s predictive power has increased over time. Evidence also suggests that allowing the forecasting model to change is more important than allowing the coefficients to change over time.

DOI

10.22300/0896-5803.42.1.37

Publication Title

Journal of Real Estate Research

Volume Number

42

Issue Number

1

First Page

37

Last Page

103

ISSN

08965803

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