The role of real estate uncertainty in predicting US home sales growth : evidence from a quantiles-based Bayesian model averaging approach
| dc.contributor.author | Cepni, Oguzhan | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Wohar, Mark E. | |
| dc.date.accessioned | 2019-09-13T13:09:57Z | |
| dc.date.issued | 2020 | |
| dc.description.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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2021-02-18 | |
| dc.description.librarian | hj2019 | en_ZA |
| dc.description.uri | http://www.tandfonline.com/loi/raec20 | en_ZA |
| dc.identifier.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. | en_ZA |
| dc.identifier.issn | 0003-6846 (print) | |
| dc.identifier.issn | 1466-4283 (online) | |
| dc.identifier.other | 10.1080/00036846.2019.1654082 | |
| dc.identifier.uri | http://hdl.handle.net/2263/71347 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Routledge | en_ZA |
| dc.rights | © 2019 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics, vol. 52, no. 5, pp. 528-536, 2020. doi : 10.1080/00036846.2019.1654082. Applied Economics is available online at : http://www.tandfonline.comloi/raec20. | en_ZA |
| dc.subject | Real estate-specific uncertainty | en_ZA |
| dc.subject | Home sales | en_ZA |
| dc.subject | Quantile regression | en_ZA |
| dc.subject | Bayesian model averaging (BMA) | en_ZA |
| dc.title | The role of real estate uncertainty in predicting US home sales growth : evidence from a quantiles-based Bayesian model averaging approach | en_ZA |
| dc.type | Postprint Article | en_ZA |