A carregar...
Publicação
Measuring downside exposure in Europe's real estate market: a house price-at-risk approach using Quantiles via Moments
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 2.73 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
This work project introduces a House Price-at-Risk (HaR) model by applying the Quantiles
via Moments approach, developed by Machado and Santos Silva (2019), for the first time.
Through quantile regressions, it is demonstrated that models incorporating combinations of
the quarterly house price growth, a financial stress indicator, a domestic systematic risk
indicator, real personal disposable income, the price-income ratio and residential gross fixed
capital formation prove to be reliable predictors of house price developments for one, two
and three years ahead. Inserting data for Germany into the optimal models shows substantial
downside risk in the German housing market.
Descrição
Palavras-chave
House price-at-risk Quantile regression Quantiles via moments Housing market Macroprudential analysis