The role of real estate uncertainty in predicting US home sales growth : evidence from a quantiles-based Bayesian model averaging approach
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Date
Authors
Cepni, Oguzhan
Gupta, Rangan
Wohar, Mark E.
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge
Abstract
This paper investigates the role of real estate-specific uncertainty in predicting the conditional distribution of US home sales growth over the monthly period of 1970:07 to 2017:12, based on Bayesian Model Averaging (BMA) to account for model uncertainty. After controlling for standard predictors of home sales (housing price, mortgage rate, personal disposable income, unemployment rate, building permits, and housing starts), and macroeconomic and financial uncertainties, our results from the quantile BMA (QBMA) model show that real estate uncertainty has predictive content for the lower and upper quantiles of the conditional distribution of home sales growth.
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Keywords
Real estate-specific uncertainty, Home sales, Quantile regression, Bayesian model averaging (BMA)
Sustainable Development Goals
Citation
Oğuzhan Çepni, Rangan Gupta & Mark E. Wohar (2019): The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach, Applied Economics, 52:5, 528-536, DOI: 10.1080/00036846.2019.1654082.