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|Title:||Dynamic asymmetries in house price cycles: A generalized smooth transition model|
Zanetti Chini, E
|Keywords:||House price cycles;Dynamic asymmetries;Non-linear models;Forecasting|
|Citation:||Journal of Empirical Finance, 37: pp. 91-103, (2016)|
|Abstract:||In this paper we propose a novel nonlinear model to capture asymmetries in real estate cycles. The approach involves a particular parametrization of the transition function used in the transition equation of a smooth transition autoregressive model which improves the fit in the non-central probability region. The dynamic symmetry in house price cycles is strongly rejected for the housing markets taken into consideration. Further, our results show that the proposed model performs well in a out of sample forecasting exercise.|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
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