A dynamic factor model for forecasting house prices in Belgium

Arbeitspapier

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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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: NBB Working Paper ; No. 313

Classification and Topics

• Classification: Wirtschaft ; Business Fluctuations; Cycles ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Forecasting Models; Simulation Methods
• Subject: dynamic factor model ; conditional forecast ; house prices ; Immobilienpreis ; Prognose ; CGE-Modell ; Belgien

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Emiris, Marina
• Event: Veröffentlichung
• (who): National Bank of Belgium
• (where): Brussels
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/173769