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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)

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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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Publisher Info
Paper provided by Central Bank & Financial Services Authority of Ireland (CBFSAI) 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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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. 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, vol. 36(3), pages 251-272. [Downloadable!]
    Other versions:
  2. McQuinn, Kieran & O'Reilly, Gerard, 2006. "Assessing the Role of Income and Interest Rates in Determining House Prices," Research Technical Papers 15/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
  3. James H. Stock & Mark W. Watson, 2006. "Why Has U.S. Inflation Become Harder to Forecast?," NBER Working Papers 12324, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Denis Conniffe & David Duffy, 1999. "Irish House Price Indices ? Methodological Issues," Papers WP110, Economic and Social Research Institute (ESRI). [Downloadable!]
    Other versions:
  5. Roche, Maurice, 2003. "Will there be a Crash in Irish House Prices?," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2003(4-Winter), pages 1-16. [Downloadable!]
  6. Maurice J. Roche, 1999. "The rise in Dublin city house prices: bubble, fad or just fundamentals," Economics, Finance and Accounting Department Working Paper Series n920799, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
  7. Trevor Fitzpatrick & Kieran Mcquinn, 2007. "House Prices And Mortgage Credit: Empirical Evidence For Ireland," Manchester School, University of Manchester, vol. 75(1), pages 82-103, 01. [Downloadable!] (restricted)
    Other versions:
  8. Mc Quinn, Kieran, 2004. "A Model of the Irish Housing Sector," Research Technical Papers 1/RT/04, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
  9. Andrew Atkeson & Lee E. Ohanian., 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11. [Downloadable!]
  10. Maurice J. Roche, 1999. "Irish house prices: will the roof fall in?," Economics, Finance and Accounting Department Working Paper Series n890699, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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