Size and sign asymmetries in house price adjustments |
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Authors: | Kurma? Akdo?an |
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Institution: | Economist, Structural Economic Research Department, Central Bank of the Republic of Turkey, Ankara, Turkey https://orcid.org/0000-0002-1297-3737 |
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Abstract: | Long-run mean-reversion in real house prices is determined by the relative strength of fundamental factors against the short-run influences. This article suggests that the adjustment towards the long-run trend in house prices could display non-linear behaviour due to some intrinsic characteristics of the housing market. Accordingly, sign and size asymmetries as well as possible structural breaks are taken into account in a unit root testing exercise for twenty-nine countries. Our results suggest that mean-reversion exists for seventy percent of the countries in our sample. Moreover, the out-of-sample forecasting performance of our non-linear models in predicting house prices is better than a simple auto-regressive benchmark for some countries. |
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Keywords: | House prices mean reversion structural breaks non-linearity unit root testing forecasting |
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