Forecasting House Prices in Germany
In the academic debate there is a broad consensus that house price fluctuations have a substantial impact on financial stability and real economic activity. Therefore, it is important to have timely information on actual and expected house price developments. The aim of this paper is to measure the latest price movements in different real estate markets in Germany and forecast near-term price developments. Therefore we construct hedonic house price indices based on real estate advertisements on the internet platform ImmobilienScout24. Then, starting with a naive AR(p) model as a benchmark, we investigate whether VAR and ARDL models using additional macroeconomic information can improve the forecasting performance as measured by the mean squared forecast error (MSFE). While these models reduce the forecast error only slightly, forecast combination approaches enhance the predictive power considerably..
|Date of creation:||Dec 2011|
|Contact details of provider:|| Postal: Hohenzollernstraße 1-3, 45128 Essen|
Web page: http://www.rwi-essen.de/
More information through EDIRC
|Order Information:||Web: http://www.rwi-essen.de/publikationen/|
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.:
- Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009.
"Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals,"
2009-42, University of Connecticut, Department of Economics.
- Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011. "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 2013-2021, July.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 200927, University of Pretoria, Department of Economics.
- Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2010. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 1001, University of Nevada, Las Vegas , Department of Economics.
- Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
- William D. Larson, 2010. "Evaluating Alternative Methods of Forecasting House Prices: A Post-Crisis Reassessment," Working Papers 2010-004, The George Washington University, Department of Economics, Research Program on Forecasting, revised Feb 2011.
- Thomas Bauer & Sven Feuerschütte & Michael Kiefer & Philipp an de Meulen & Martin Micheli & Torsten Schmidt & Lars-Holger Wilke, 2013.
"Ein hedonischer Immobilienpreisindex auf Basis von Internetdaten: 2007–2011,"
AStA Wirtschafts- und Sozialstatistisches Archiv,
Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 7(1), pages 5-30, August.
- an de Meulen, Philipp & Bauer, Thomas K. & Micheli, Martin & Schmidt, Torsten & Kiefer, Michael & Wilke, Lars-Holger & Feuerschütte, Sven, 2011. "Ein hedonischer Immobilienpreisindex auf Basis von Internetdaten 2007-2011," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 69972, November.
- David E. Rapach & Jack K. Strauss, 2007. "Forecasting real housing price growth in the Eighth District states," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Nov, pages 33-42.
- Teekens, R & Koerts, J, 1972. "Some Statistical Implications of the Log Transformation of Multiplicative Models," Econometrica, Econometric Society, vol. 40(5), pages 793-819, September.
- Gattini, Luca & Hiebert, Paul, 2010.
"Forecasting and assessing Euro area house prices through the lens of key fundamentals,"
Working Paper Series
1249, European Central Bank.
- Luca GATTINI & Paul HIEBERT, . "Forecasting and Assessing Euro Area House Prices Through the Lens of Key Fundamentals," EcoMod2010 259600061, EcoMod.
- Kelvin J. Lancaster, 1966. "A New Approach to Consumer Theory," Journal of Political Economy, University of Chicago Press, vol. 74, pages 132-132.
- Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
- G. Elliott & C. Granger & A. Timmermann (ed.), 2006. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 1, number 1, May/June.
- Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
When requesting a correction, please mention this item's handle: RePEc:rwi:repape:0294. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sabine Weiler)
If references are entirely missing, you can add them using this form.