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Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment

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  • Christian Pierdzioch

    ()
    (Department of Economics, Helmut Schmidt University, Germany)

Abstract

Based on a recursive forecasting approach, this research studies whether macro- economic factors help to forecast excess returns on a real-estate-based German stock market index. Key findings are that macroeconomic factors are often included in the optimal forecasting model, that their relative importance often differs from their importance for forecasting a broad stock-market index, and that their informational content for forecasting excess returns seems to undergo temporal shifts. This research also finds evidence of market timing.

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File URL: http://www.bapress.ca/Journal-7/Macroeconomic%20Factors%20and%20the%20German%20Real%20Estate%20Market%20--%20A%20Stock-Market-Based%20Forecasting%20Experiment.pdf
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Bibliographic Info

Article provided by Better Advances Press, Canada in its journal Review of Economics & Finance.

Volume (Year): 2 (2012)
Issue (Month): (May)
Pages: 87-96

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Handle: RePEc:bap:journl:120208

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Related research

Keywords: Real estate market; Stock market; Forecasting; Macroeconomic factors;

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References

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  1. Karl E. Case & Robert J. Shiller, 2003. "Is There a Bubble in the Housing Market?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2), pages 299-362.
  2. Pesaran, M. Hashem & Timmermann, Allan G., 1994. "A generalization of the non-parametric Henriksson-Merton test of market timing," Economics Letters, Elsevier, vol. 44(1-2), pages 1-7.
  3. Philipp an de Meulen & Martin Micheli & Torsten Schmidt, 2011. "Forecasting House Prices in Germany," Ruhr Economic Papers 0294, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  4. Pesaran, M. H. & Timmermann, A., 1996. "A Recursive Modelling Approach to Predicting UK Stock Returns'," Cambridge Working Papers in Economics 9625, Faculty of Economics, University of Cambridge.
  5. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
  6. Vyacheslav Mikhed & Petr Zemcik, 2007. "Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence," CERGE-EI Working Papers wp337, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
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  8. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2006. "Economic and Financial Crises and the Predictability of U.S. Stock Returns," MPRA Paper 561, University Library of Munich, Germany.
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  11. Adams, Zeno & Füss, Roland, 2010. "Macroeconomic determinants of international housing markets," Journal of Housing Economics, Elsevier, vol. 19(1), pages 38-50, March.
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  17. Massimo Giuliodori, 2005. "The Role Of House Prices In The Monetary Transmission Mechanism Across European Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 52(4), pages 519-543, 09.
  18. Nghiep Nguyen & Al Cripps, 2001. "Predicting Housing Value: A Comparison of Multiple Regression Analysis and Artificial Neural Networks," Journal of Real Estate Research, American Real Estate Society, vol. 22(3), pages 313-336.
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  20. Liu, Crocker H & Mei, Jianping, 1992. "The Predictability of Returns on Equity REITs and Their Co-movement with Other Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 5(4), pages 401-18, December.
  21. Edward Nelling & Joseph Gyourko, 1998. "The Predictability of Equity REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 251-268.
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