Bouras, ChristosChristou, ChristinaGupta, RanganLesame, Keagile2023-07-252023-07-252023-04Bouras, C., Christou, C., Gupta, R. et al. 2023, 'Forecasting state- and MSA-level housing returns of the US: the role of mortgage default risks', Research in International Business and Finance, vol. 65, art. 101952, pp. 1-22, doi : 10.1016/j.ribaf.2023.101952.0275-531910.1016/j.ribaf.2023.101952http://hdl.handle.net/2263/91612DATA : MDRI by Chauvet et al. (2016): https://chandlerlutz.shinyapps.io/mdri-app/); House Price: Freddie Mac: http://www.freddiemac.com/research/indices/house-price-index.page; Non-Farm Employment: Regional Accounts Database of the US Bureau of Economic Analysis (BEA), and; Monthly economic activity indices of MSAs as developed by Arias et al. (2016): FRED database of the Federal Reserve Bank of St. Louis.We analyze the ability of an index of mortgage default risks (MDRI) for 43 states and 20 metropolitan statistical areas (MSA) of the US derived from Google search queries, in predicting (in- and out-of-sample) housing returns of the corresponding states and MSAs, based on various panel data and time-series approaches. In general, our results tend to prefer the panel data model based on common correlated effects estimation. We highlight that growth in MDRI negatively impacts housing returns within-sample, with predictive gains primarily concentrated beyond a year. These results are robust to alternative out-of-sample periods and econometric frameworks. Given the role of house prices as a leading indicators, our results are of value to policymakers, especially at the longer-run.en© 2023 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in Research in International Business and Finance, vol. 65, art. 101952, pp. 1-22, 2023. doi : 10.1016/j.ribaf.2023.101952.Mortgage default riskHousing returnsStates and MSAsPanel data predictive modelsMetropolitan statistical areas (MSA)United States (US)SDG-08: Decent work and economic growthPreprint Article