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Author: William Miles Publisher: ISBN: Category : Languages : en Pages :
Book Description
The tremendous rise in house prices over the last decade has been both a national and a global phenomenon. The growth of secondary mortgage holdings and the increased impact of house prices on consumption and other components of economic activity imply ever-greater importance for accurate forecasts of home price changes. Given the boom-bust nature of housing markets, nonlinear techniques seem intuitively very well suited to forecasting prices, and better, for volatile markets, than linear models which impose symmetry of adjustment in both rising and falling price periods. Accordingly, Crawford and Fratantoni (2003) apply a Markov-Switching model to U.S. home prices, and compare the performance with ARMA and GARCH models. While the switching model shows great promise with excellent in-sample fit, its out-of-sample forecasts are generally inferior to more standard forecasting techniques. Since these results were published, some researchers have discovered that the Markov-Switching model is particularly ill-suited for forecasting. We thus consider other non-linear models besides the Markov Switching, and after evaluating alternatives, employ the Generalized Autoregressive (GAR) model. We find the GAR does a better job at out-of-sample forecasting than ARMA and GARCH models in many cases, especially in those markets traditionally associated with high home-price volatility.
Author: William Miles Publisher: ISBN: Category : Languages : en Pages :
Book Description
The tremendous rise in house prices over the last decade has been both a national and a global phenomenon. The growth of secondary mortgage holdings and the increased impact of house prices on consumption and other components of economic activity imply ever-greater importance for accurate forecasts of home price changes. Given the boom-bust nature of housing markets, nonlinear techniques seem intuitively very well suited to forecasting prices, and better, for volatile markets, than linear models which impose symmetry of adjustment in both rising and falling price periods. Accordingly, Crawford and Fratantoni (2003) apply a Markov-Switching model to U.S. home prices, and compare the performance with ARMA and GARCH models. While the switching model shows great promise with excellent in-sample fit, its out-of-sample forecasts are generally inferior to more standard forecasting techniques. Since these results were published, some researchers have discovered that the Markov-Switching model is particularly ill-suited for forecasting. We thus consider other non-linear models besides the Markov Switching, and after evaluating alternatives, employ the Generalized Autoregressive (GAR) model. We find the GAR does a better job at out-of-sample forecasting than ARMA and GARCH models in many cases, especially in those markets traditionally associated with high home-price volatility.
Author: Marko Hannonen Publisher: Suomen E-painos Oy ISBN: 9526613767 Category : Mathematics Languages : en Pages : 51
Book Description
This booklet discusses some major methodological issues relating to the construction of house price models on a macro level. There is no single method that always produces the optimal results; the choice of a particular approach, method, theory, model and technique is context-dependent. This is especially true in housing markets, where a multitude of different submarkets exist. The methodology chosen should be based on sound theory, from which the basic concepts of analysis can be derived. This booklet discusses the use of potential models, which can be constructed using a general field theory, and which act as a theoretical foundation for further analysis. If we use potential models for house price analysis we can discover additional features from the data set that other approaches would simply miss. This e-book presents a pragmatic overview of key methodological concerns with the emphasis on the use of potential models. Theoretical methodological questions are left unanswered, and are not even presented in this text, since they have little relevancy to real-world modelling questions.
Author: Keith Jacobs Publisher: Edward Elgar Publishing ISBN: 1800375972 Category : Social Science Languages : en Pages : 639
Book Description
This dynamic Research Handbook explores key perspectives, topics and methodologies used to understand housing, the home and society. Pairing social theory with a broad range of case studies from the Global North and South, it offers a unique insight into the field.
Author: Alexander Bönner Publisher: Springer Science & Business Media ISBN: 3834994022 Category : Business & Economics Languages : en Pages : 193
Book Description
The applicability and performance of ARIMA, GARCH and multivariate regression models are analyzed and city as well as forecasting horizon-specific patterns are determined and interpreted by Alexander Bönner. Univariate rent forecasting models generally outperform multivariate rent forecasting regression models in the short run. In the long run, multivariate regression models dominate.
Author: Piyush Tiwari Publisher: John Wiley & Sons ISBN: 1118836626 Category : Business & Economics Languages : en Pages : 288
Book Description
The financial deregulation of the last quarter century has meantlarge flows of funds around the world seeking the highestrisk-adjusted return for investors. Real estate is now establishedas an important asset class and advances in information technologyprovide the necessary tools to complement global developments inreal estate finance and investment. A variety of investment vehicles have emerged, andReal EstateFinance in the New Economy examines these along withfinancing and risk in the context of globalization, deregulationand an increasingly integrated international world economy byexploring questions like: How have real estate financial structures evolved as economiesgrow and become internationalised? What role do economic change and financial systems play in thedevelopment of real estate investment? Are the risks associated with the ‘new economy’really new? What is the future direction for real estate financing? The authors develop an economic framework for discussions onindividual financial products to examine how real estate financialstructures change with economic growth and internationalisation andalso to show how developments in real estate finance impacteconomic growth.
Author: Osvaldo Gervasi Publisher: Springer ISBN: 3319214705 Category : Computers Languages : en Pages : 857
Book Description
The five-volume set LNCS 9155-9159 constitutes the refereed proceedings of the 15th International Conference on Computational Science and Its Applications, ICCSA 2015, held in Banff, AB, Canada, in June 2015. The 232 revised full papers presented in 22 workshops and a general track were carefully reviewed and selected from 780 initial submissions for inclusion in this volume. They cover various areas in computational science ranging from computational science technologies to specific areas of computational science such as computational geometry and security.
Author: Oren Bar-Gill Publisher: OUP Oxford ISBN: 0191640387 Category : Law Languages : en Pages : 296
Book Description
Consumers routinely enter into long-term contracts with providers of goods and services - from credit cards, mortgages, cell phones, insurance, TV, and internet services to household appliances, theatre and sports events, health clubs, magazine subscriptions, transportation, and more. Across these consumer markets certain design features of contracts are recurrent, and puzzling. Why do sellers design contracts to provide short-term benefits and impose long-term costs? Why are low introductory prices so common? Why are the contracts themselves so complex, with numerous fees and interest rates, tariffs and penalties? Seduction by Contract explains how consumer contracts emerge from the interaction between market forces and consumer psychology. Consumers are short-sighted and optimistic, so sellers compete to offer short-term benefits, while imposing long-term costs. Consumers are imperfectly rational, so sellers hide the true costs of products and services in complex contracts. Consumers are seduced by contracts that increase perceived benefits, without actually providing more benefits, and decrease perceived costs, without actually reducing the costs that consumers ultimately bear. Competition does not help this behavioural market failure. It may even exacerbate it. Sellers, operating in a competitive market, have no choice but to align contract design with the psychology of consumers. A high-road seller who offers what she knows to be the best contract will lose business to the low-road seller who offers what the consumer mistakenly believes to be the best contract. Put bluntly, competition forces sellers to exploit the biases and misperceptions of their customers. Seduction by Contract argues that better legal policy can help consumers and enhance market efficiency. Disclosure mandates provide a promising avenue for regulatory intervention. Simple, aggregate disclosures can help consumers make better choices. Comprehensive disclosures can facilitate the work of intermediaries, enabling them to better advise consumers. Effective disclosure would expose the seductive nature of consumer contracts and, as a result, reduce sellers' incentives to write inefficient contracts. Developing its explanation through a general framework and detailed case studies of three major consumer markets (credit cards, mortgages, and cell phones), Seduction by Contract is an accessible introduction to the law and economics of consumer contracts, and a powerful critique of current regulatory policy.
Author: Thomas Sowell Publisher: Basic Books (AZ) ISBN: 0465018807 Category : Business & Economics Languages : en Pages : 194
Book Description
Explains how we got into the current economic disaster that developed out of the economics and politics of the housing boom and bust. The "creative" financing of home mortgages and "creative" marketing of financial securities based on these mortgages to countries around the world, are part of the story of how a financial house of cards was built up--and then collapsed.
Author: Calvin Schnure Publisher: INTERNATIONAL MONETARY FUND ISBN: 9781451862195 Category : Business cycles Languages : en Pages : 27
Book Description
Why are housing markets so prone to boom-bust cycles? The mortgage market structure prior to the Savings and Loan crisis contributed to the volatility in real housing activity which, in turn, amplified the volatility in housing prices. The subsequent development of a national, market-based system of securitized mortgage finance has damped this boom-bust cycle. We test whether deviations of actual housing prices from values forecast by a model based on economic fundamentals have responded to the change in financial structure, and find that pricing errors have fallen significantly since the mid-1980s. Tests of the relative importance of the change in financial market structure versus the reduction of inflation over this period indicate a primary role for market structure in improving pricing efficiency.
Author: William Miles
Author: William Miles
Author: Marko Hannonen
Author: Keith Jacobs
Author: Alexander Bönner
Author: Piyush Tiwari
Author: Osvaldo Gervasi
Author: Mehmet Balcilar
Author: Oren Bar-Gill
Author: Thomas Sowell
Author: Calvin Schnure