In this paper we propose a novel nonlinear model to capture asymmetries in real estate cycles. The approach involves a particular parametrization of the transition function used in the transition equation of a smooth transition autoregressive model which improves the fit in the non-central probability region. The dynamic symmetry in house price cycles is strongly rejected for the housing markets taken into consideration. Further, our results show that the proposed model performs well in a out of sample forecasting exercise.

Dynamic asymmetries in house price cycles. A generalized smooth transition model / Canepa, Alessandra; Zanetti Chini, Emilio. - In: JOURNAL OF EMPIRICAL FINANCE. - ISSN 0927-5398. - 37(2016), pp. 91-103. [10.1016/j.jempfin.2016.02.011]

Dynamic asymmetries in house price cycles. A generalized smooth transition model

Zanetti Chini, Emilio
Methodology
2016

Abstract

In this paper we propose a novel nonlinear model to capture asymmetries in real estate cycles. The approach involves a particular parametrization of the transition function used in the transition equation of a smooth transition autoregressive model which improves the fit in the non-central probability region. The dynamic symmetry in house price cycles is strongly rejected for the housing markets taken into consideration. Further, our results show that the proposed model performs well in a out of sample forecasting exercise.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11573/1283842
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