Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/173769
Authors: 
Emiris, Marina
Year of Publication: 
2016
Series/Report no.: 
NBB Working Paper 313
Abstract: 
The paper forecasts the residential property price index in Belgium with a dynamic factor model (DFM) estimated with a dataset of macro-economic variables describing the Belgian and euro area economy. The model is validated with out-of-sample forecasts which are obtained recursively over an expanding window over the period 2000q1-2012q4. We illustrate how the model reads information from mortgage loans, interest rates, GDP and inflation to revise the residential property price forecast as a result of a change in assumptions for the future paths of these variables.
Subjects: 
dynamic factor model
conditional forecast
house prices
JEL: 
E32
G21
C53
Document Type: 
Working Paper

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