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EnglishIn 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.
(2020). Global cities and local housing market cycles [journal article - articolo]. In THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS. Retrieved from http://hdl.handle.net/10446/190887
| Citazione: | (2020). Global cities and local housing market cycles [journal article - articolo]. In THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS. Retrieved from http://hdl.handle.net/10446/190887 | |
| Titolo: | Global cities and local housing market cycles | |
| Tipologia specifica: | articolo | |
| Tutti gli autori: | Canepa, Alessandra; Zanetti Chini, Emilio; Alqaralleh, Huthaifa | |
| Data di pubblicazione: | 2020 | |
| Abstract (eng): | 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. | |
| Rivista: | ||
| Nelle collezioni: | 1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays |
File allegato/i alla scheda:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| Zanetti-Chini_Global_2019.pdf | publisher's version - versione editoriale | Licenza default Aisberg | Testo non consultabile |
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