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Identifying and Forecasting House Price Dynamics in Ireland

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Author Info

  • D'Agostino, Antonello

    (Central Bank and Financial Services Authority of Ireland)

  • McQuinn, Kieran

    (Central Bank and Financial Services Authority of Ireland)

  • O' Reilly, Gerard

    (Central Bank and Financial Services Authority of Ireland)

Abstract

While increased attention has, of late, focussed on models of house prices, few,if any, studies have examined house prices from a purely forecasting perspective. However, the need for accurate and timely forecasts of house prices has grown as the rate of house price inflation is more and more important to policy discussions such as those governing decisions on inflation. This is further underscored with the development of financial markets products based on houseprice index. In this paper, we propose that a simple univariate moving average (MA) model can provide optimal forecasts of Irish house price inflation when compared with a suite of standard forecasting and structural house price models. This result echoes similar recent findings for forecasts of US inflation rate.

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Bibliographic Info

Paper provided by Central Bank of Ireland in its series Research Technical Papers with number 3/RT/08.

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Length: 20 pages
Date of creation: Jun 2008
Date of revision:
Handle: RePEc:cbi:wpaper:3/rt/08

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  1. Trevor Fitzpatrick & Kieran Mcquinn, 2007. "House Prices And Mortgage Credit: Empirical Evidence For Ireland," Manchester School, University of Manchester, University of Manchester, vol. 75(1), pages 82-103, 01.
  2. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 39(s1), pages 3-33, 02.
  3. Maurice J. Roche, 1999. "Irish House Prices - Will the Roof Cave In?," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 30(4), pages 343-362.
  4. Denis Conniffe & David Duffy, 1999. "Irish House Price Indices — Methodological Issues," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 30(4), pages 403-423.
  5. repec:cbi:wpaper:1/rt/04 is not listed on IDEAS
  6. Maurice J. Roche, 1999. "Irish house prices: will the roof fall in?," Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n890699, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  7. repec:cbi:wpaper:1/rt/98 is not listed on IDEAS
  8. David Duffy & John Fitz Gerald & Ide Kearney, 2005. "Rising House Prices in an Open Labour Market," The Economic and Social Review, Economic and Social Studies, Economic and Social Studies, vol. 36(3), pages 251-272.
  9. Andrew Atkeson & Lee E. Ohanian., 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11.
  10. repec:cbi:wpaper:5/rt/07 is not listed on IDEAS
  11. repec:cbi:wpaper:15/rt/06 is not listed on IDEAS
  12. Roche, Maurice, 2003. "Will there be a Crash in Irish House Prices?," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), Economic and Social Research Institute (ESRI), vol. 2003(4-Winter), pages 1-16.
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