Mortgage default risks and high-frequency predictability of the U.S. housing market : a reconsideration

dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorBouri, Elie
dc.contributor.authorGupta, Rangan
dc.contributor.authorWohar, Mark E.
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2021-09-14T06:10:49Z
dc.date.issued2020
dc.description.abstractRecent evidence, based on a linear framework, tends to suggest that while mortgage default risks can predict weekly and monthly housing returns of the United States, the same does not hold at the daily frequency. We, however, indicate that the relationship between daily housing returns with mortgage default risks is in fact nonlinear, and hence a linear predictive model is misspecified. Given this, we use a k-th order nonparametric causality-in-quantiles test, which in turn allows us to test for predictability over the entire conditional distribution of not only housing returns, but also volatility, by controlling for misspecification due to nonlinearity. Based on this model, we show that mortgage default risks do indeed predict housing returns and volatility, barring at the extreme upper end of the respective conditional distributions.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2022-07-26
dc.description.librarianhj2021en_ZA
dc.description.urihttp://www.tandfonline.com/loi/repm20en_ZA
dc.identifier.citationBalcilar, M., Bouri, E., Gupta R. et al. 2020, 'Mortgage default risks and high-frequency predictability of the U.S. housing market: a reconsideration', Journal of Real Estate Portfolio Management, vol. 26, no. 2, pp. 111-117, doi: 10.1080/10835547.2020.1854606.en_ZA
dc.identifier.issn1083-5547 (print)
dc.identifier.issn2691-1205 (online)
dc.identifier.other10.1080/10835547.2020.1854606
dc.identifier.urihttp://hdl.handle.net/2263/81807
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© The American Real Estate Society (ARES). This is an electronic version of an article published in Journal of Real Estate Portfolio Management, vol. 26, no. 2, pp. 111-117, 2020, doi: 10.1080/10835547.2020.1854606. Journal of Real Estate Portfolio Management is available online at : http://www.tandfonline.com/loi/repm200.en_ZA
dc.subjectMortgage default risksen_ZA
dc.subjectHousing returnsen_ZA
dc.subjectVolatilityen_ZA
dc.subjectHigher-order nonparametric causality in quantiles testen_ZA
dc.titleMortgage default risks and high-frequency predictability of the U.S. housing market : a reconsiderationen_ZA
dc.typePostprint Articleen_ZA

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