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Forecasting Real Estate Prices

Listed author(s):
  • Ghysels, Eric
  • Plazzi, Alberto
  • Valkanov, Rossen
  • Torous, Walter
Registered author(s):

    This chapter reviews the evidence of predictability in U.S. residential and commercial real estate markets. First, we highlight the main methodologies used in the construction of real estate indices, their underlying assumptions and their impact on the stochastic properties of the resultant series. We then survey the key empirical findings in the academic literature, including short-run persistence and long-run reversals in the log changes of real estate prices. Next, we summarize the ability of local as well as aggregate variables to forecast real estate returns. We illustrate a number of these results by relying on six aggregate indexes of the prices of unsecuritized (residential and commercial) real estate and REITs. The effect of leverage and monetary policy is also discussed.

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    This chapter was published in:
  • G. Elliott & C. Granger & A. Timmermann (ed.), 2013. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 2, number 2.
  • This item is provided by Elsevier in its series Handbook of Economic Forecasting with number 2-509.
    Handle: RePEc:eee:ecofch:2-509
    DOI: 10.1016/B978-0-444-53683-9.00009-8
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