Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92316
Authors: 
Kholodilin, Konstantin A.
Siliverstovs, Boriss
Year of Publication: 
2014
Series/Report no.: 
DIW Discussion Papers 1360
Abstract: 
In this paper, we evaluate the forecasting ability of 115 indicators to predict the housing prices and rents in 71 German cities. Above all, we are interested in whether the local business confidence indicators can allow substantially improving the forecasts, given the local nature of the real-estate markets. The forecast accuracy of different predictors is tested in a framework of a quasi out-of-sample forecasting. Its results are quite heterogeneous. No single indicator appears to dominate all the others for all cities and market segments. However, there are several predictors that are especially useful, namely the business confidence at the national level, consumer confidence, and price-to-rent ratios. Given the short sample size, the combinations of individual forecast do not improve the forecast accuracy. On average, the forecast improvements attain about 20%, measured by reduction in RMSFE, compared to the naive model. In separate cases, however, the magnitude of improvement is about 50%.
Subjects: 
housing prices
housing rents
forecasting
spatial dependence
German cities
confidence indicators
chambers of commerce and industry
JEL: 
C21
C23
C53
Document Type: 
Working Paper

Files in This Item:
File
Size
611.01 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.