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A dynamic factor model for forecasting house prices in Belgium. National Bank of Belgium Working Paper No. 313

Emiris, Marina (2016) A dynamic factor model for forecasting house prices in Belgium. National Bank of Belgium Working Paper No. 313. [Working Paper]

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    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.

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    Item Type: Working Paper
    Uncontrolled Keywords: dynamic factor model, conditional forecast, house prices
    Subjects for non-EU documents: Countries > Belgium
    EU policies and themes > Policies & related activities > economic and financial affairs > general
    Subjects for EU documents: UNSPECIFIED
    EU Series and Periodicals: UNSPECIFIED
    EU Annual Reports: UNSPECIFIED
    Series: Series > National Bank of Belgium (Brussels) > Working Papers
    Depositing User: Phil Wilkin
    Official EU Document: No
    Language: English
    Date Deposited: 29 Nov 2019 15:32
    Number of Pages: 53
    Last Modified: 29 Nov 2019 15:32
    URI: http://aei.pitt.edu/id/eprint/97454

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