In this paper, we consider the dynamic features of house price in metropolises that are characterised by a high degree of internationalisation. Using a generalised smooth transition (GSTAR) model we show that the dynamic symmetry in house price cycles is strongly rejected for the housing markets considered in this paper. Further, we conduct an out-of-sample forecast comparison of the GSTAR with a linear AR model for the metropolises under consideration. We find that the use of nonlinear models to forecast house prices, in most cases, generate improvements in forecast performance.

Global cities and local housing market cycles / Canepa, Alessandra; Zanetti Chini, Emilio; Alqaralleh, Huthaifa. - In: THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS. - ISSN 1573-045X. - (2019), pp. 1-27.

Global cities and local housing market cycles

Emilio Zanetti Chini
Secondo
Methodology
;
2019

Abstract

In this paper, we consider the dynamic features of house price in metropolises that are characterised by a high degree of internationalisation. Using a generalised smooth transition (GSTAR) model we show that the dynamic symmetry in house price cycles is strongly rejected for the housing markets considered in this paper. Further, we conduct an out-of-sample forecast comparison of the GSTAR with a linear AR model for the metropolises under consideration. We find that the use of nonlinear models to forecast house prices, in most cases, generate improvements in forecast performance.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11573/1384197
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