Forecasting house-price growth in the Euro area with dynamic model averaging

Abelson, 2005, Explaining house prices in Australia: 1970–2003, Economic Record, 81, 96, 10.1111/j.1475-4932.2005.00243.x Aiolfi, 2006, Persistence in forecasting performance and conditional combination strategies, Journal of Econometrics, 135, 31, 10.1016/j.jeconom.2005.07.015 Algieri, 2013, House price determinants: Fundamentals and underlying factors, Comparative Economic Studies, 55, 315, 10.1057/ces.2013.3 Bagliano, 2012, The great recession: US dynamics and spillovers to the world economy, Journal of Banking and Finance, 36, 1, 10.1016/j.jbankfin.2011.06.002 Beckmann, 2016, Forecasting exchange rates under parameter and model uncertainty, Journal of International Money and Finance, 60, 267, 10.1016/j.jimonfin.2015.07.001 Belke, 2008, Sowing the seeds for the subprime crisis: does global liquidity matter for housing and other asset prices, International Economics and Economic Policy, 5, 403, 10.1007/s10368-008-0123-y Beltratti, 2010, International house prices and macroeconomic fluctuations, Journal of Banking and Finance, 34, 533, 10.1016/j.jbankfin.2009.08.020 Bork, 2015, Forecasting house prices in the 50 states using dynamic model averaging and dynamic model selection, International Journal of Forecasting, 31, 63, 10.1016/j.ijforecast.2014.05.005 Buncic, 2015, Forecasting copper prices with dynamic averaging and selection models, North American Journal of Economics and Finance, 33, 1, 10.1016/j.najef.2015.03.002 Calza, 2013, Housing finance and monetary policy, Journal of the European Economic Association, 11, 101, 10.1111/j.1542-4774.2012.01095.x Case, 1989, The efficiency of the market for single-family homes, The American Economic Review, 79, 125 Case, 1990, Forecasting prices and excess returns in the housing market, Real Estate Economics, 18, 253, 10.1111/1540-6229.00521 Cesa-Bianchi, 2015, Global liquidity, house prices, and the macroeconomy: Evidence from advanced and emerging economies, Journal of Money, Credit and Banking, 47, 301, 10.1111/jmcb.12204 Clark, 2007, Approximately normal tests for equal predictive accuracy in nested models, Journal of Econometrics, 138, 291, 10.1016/j.jeconom.2006.05.023 Ebner, 2013, A micro view on home equity withdrawal and its determinants: Evidence from dutch households, Journal of Housing Economics, 22, 321, 10.1016/j.jhe.2013.10.001 Efron, 2004, Least angle regression, The Annals of Statistics, 32, 407, 10.1214/009053604000000067 Favara, 2015, Credit supply and the price of housing, American Economic Review, 105, 958, 10.1257/aer.20121416 Favilukis, J., Ludvigson, S. C., & Van Nieuwerburgh, S. (2015). The macroeconomic effects of housing wealth, housing finance, and limited risk-sharing in general equilibrium, NBER Working Paper No. 15988. Forni, 2003, Do financial variables help forecasting inflation and real activity in the Euro area?, Journal of Monetary Economics, 50, 1243, 10.1016/S0304-3932(03)00079-5 Gau, 1985, Public information and abnormal returns in real estate investment, Real Estate Economics, 13, 15, 10.1111/1540-6229.00338 Ghysels, 2012, Forecasting real estate prices, vol. 2A, 510 Goeman, 2010, L1 penalized estimation in the cox proportional hazards model, Biometrical Journal, 52, 70 Goyal, 2003, Predicting the equity premium with dividend ratios, Management Science, 49, 639, 10.1287/mnsc.49.5.639.15149 Gupta, 2010, Predicting downturns in the US housing market: A bayesian approach, Journal of Real Estate Finance and Economics, 41, 294, 10.1007/s11146-008-9163-x Gupta, 2014, Forecasting China’s foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty, North American Journal of Economics and Finance, 28, 170, 10.1016/j.najef.2014.02.003 Gupta, 2013, The role of asset prices in forecasting inflation and output in South Africa, Journal of Emerging Market Finance, 12, 239, 10.1177/0972652713512913 Gupta, 2012, The time-series properties of house prices: A case study of the southern california market, Journal of Real Estate Finance and Economics, 44, 339, 10.1007/s11146-010-9234-7 Iacoviello, 2005, House prices, borrowing constraints, and monetary policy in the business cycle, American Economic Review, 95, 739, 10.1257/0002828054201477 IMF. (2003). When bubbles burst, World Economic Outlook (WEO), April 2003, (pp. 61–94). IMF. (2008). The changing housing cycle and the implications for monetary policy, World Economic Outlook (WEO), April 2008, (pp. 103–132). Jarociński, 2009, House prices and the stance of monetary policy, Federal Reserve Bank of St. Louis, Review, 90, 339 Koop, 2011, UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?, Economic Modelling, 28, 2307, 10.1016/j.econmod.2011.04.008 Koop, 2012, Forecasting inflation using dynamic model averaging, International Economic Review, 53, 867, 10.1111/j.1468-2354.2012.00704.x Koop, 2013, Large time-varying parameter VARs, Journal of Econometrics, 177, 185, 10.1016/j.jeconom.2013.04.007 Koop, 2013, Forecasting the European carbon market, Journal of the Royal Statistical Society: Series A (Statistics in Society), 176, 723, 10.1111/j.1467-985X.2012.01060.x Kouwenberg, 2014, Forecasting the US housing market, International Journal of Forecasting, 30, 415, 10.1016/j.ijforecast.2013.12.010 Leamer, E. E. (2007). Housing is the business cycle, NBER Working Paper, No. 13428. Linneman, 1986, An empirical test of the efficiency of the housing market, Journal of Urban Economics, 20, 140, 10.1016/0094-1190(86)90003-3 Mack, A., Martínez-Garća, E., & Grossman, V. (2011). A cross-country quarterly database of real house prices: A methodological note, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute, Working Paper No. 99. Mian, 2009, The consequences of mortgage credit expansion: Evidence from the U.S. mortgate default crisis, Quarterly Journal of Economics, 124, 1449, 10.1162/qjec.2009.124.4.1449 Miles, 2008, Boom–bust cycles and the forecasting performance of linear and non-linear models of house prices, Journal of Real Estate Finance and Economics, 36, 249, 10.1007/s11146-007-9067-1 Muellbauer, 1997, Booms and busts in the UK housing market, Economic Journal, 107, 1701, 10.1111/j.1468-0297.1997.tb00076.x Oikarinen, 2009, Interaction between housing prices and household borrowing: The Finnish case, Journal of Banking and Finance, 33, 747, 10.1016/j.jbankfin.2008.11.004 Pavlov, 2011, Subprime lending and real estate prices, Real Estate Economics, 39, 1, 10.1111/j.1540-6229.2010.00284.x Plakandaras, 2015, Forecasting the US real house price index, Economic Modelling, 45, 259, 10.1016/j.econmod.2014.10.050 Raftery, 2010, Online prediction under model uncertainty via dynamic model averaging: Application to a cold rolling mill, Technometrics, 52, 52, 10.1198/TECH.2009.08104 Rajan, 2015, The anatomy of a credit crisis: The boom and bust in farm land prices in the United States in the 1920s, American Economic Review, 105, 1439, 10.1257/aer.20120525 Rapach, 2007, Forecasting real housing price growth in the eighth district states, Federal Reserve Bank of St. Louis, Regional Economic Development, 3, 33 Rapach, 2009, Differences in housing price forecastability across US states, International Journal of Forecasting, 25, 351, 10.1016/j.ijforecast.2009.01.009 RiskMetrics. (1996). Riskmetrics technical manual, Tech. Rep. (4th ed.), JP Morgan. Stock, 2003, Forecasting output and inflation: The role of asset prices, Journal of Economic Literature, 41, 788, 10.1257/jel.41.3.788 Sutton, 2002, Explaining changes in house prices, BIS Quarterly Review, 46 R Development Core Team. (2015). R: A language and environment for statistical computing, Vienna, Austria: R Foundation for Statistical Computing. Terrones, M. E., & Otrok, C. (2004). The global house price boom, World Economic Outlook (WEO), September 2004, (pp. 71–89). Tibshirani, 1996, Regression shrinkage and selection via the lasso, Journal of the Royal Statistical Society. Series B (Methodological), 58, 267, 10.1111/j.2517-6161.1996.tb02080.x Tsatsaronis, 2004, What drives housing price dynamics: Cross-country evidence, BIS Quarterly Review (March), 65