Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: NBB Working Paper ; No. 313
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Forecasting Models; Simulation Methods
- Thema
-
dynamic factor model
conditional forecast
house prices
Immobilienpreis
Prognose
CGE-Modell
Belgien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Emiris, Marina
- Ereignis
-
Veröffentlichung
- (wer)
-
National Bank of Belgium
- (wo)
-
Brussels
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Emiris, Marina
- National Bank of Belgium
Entstanden
- 2016
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