Could we have predicted the recent downturn in the South African housing market?

Journal of Housing Economics

Volumn 18, Issue 4, 2009, Pages 325-335

  Das, Sonali ^a   Gupta, Rangan ^b   Kabundi, Alain ^c  

^a DSI CSIR Nanotechnology Innovation Centre   (South Africa)

^b UNIVERSITY OF PRETORIA   (South Africa)

^c UNIVERSITY OF JOHANNESBURG   (South Africa)

Author keywords

BVAR; Dynamic factor model; Forecast accuracy

Indexed keywords

EID: 70350379339     PISSN: 10511377     EISSN: 10960791     Source Type: Journal    
DOI: 10.1016/j.jhe.2009.04.004     Document Type: Article

References (51)

1. Abraham J.M., and Hendershott P.H. Bubbles in metropolitan housing markets. Journal of Housing Research 7 (1996) 191-207
2. ABSA Housing Price Review, 2008. Quarter 1, Quarter 2 and Quarter 3.
3. Bai J., and Ng S. Determining the number of primitive shocks in factor models. Journal of Business and Economic Statistics 25 (2007) 52-60
4. Bai J., and Ng S. Determining the number of factors in approximate factor models. Econometrica 70 (2002) 191-221
5. Banerji A., Dua P., and Miller S.M. Performance evaluation of the new connecticut leading employment index using lead profiles and BVAR models. Journal of Forecasting 25 (2008) 415-437
6. Bernanke B., and Gertler M. Inside the black box: the credit channel of monetary transmission. Journal of Economic Perspectives 9 (1995) 27-48
7. Burger P., and Van Rensburg L.J. Metropolitan house prices in South Africa: Do they converge?. South African Journal of Economics 76 (2008) 291-297
8. Cho M. House price dynamics: a survey of theoretical and empirical issues. Journal of Housing Research 7 (1996) 145-172
9. Das, S., Gupta, R., Kabundi, A., 2008. Is a DFM well-suited for forecasting regional house price inflation? Economic Research Southern Africa Working Paper No. 85.
10. Del Negro, M., 2001. Turn, turn, turn: predicting turning points in economic activity. Economic Review. Second Quarter, Federal Reserve Bank of Atlanta.
11. Doan T.A., Litterman R.B., and Sims C.A. Forecasting and conditional projections using realistic prior distributions. Econometric Reviews 3 (1984) 1-100
12. Dua P., and Smyth D.J. Forecasting U.S. home sales using BVAR models and survey data on households' buying attitude for homes. Journal of Forecasting 14 (1995) 217-227
13. Dua P., Miller S.M., and Smyth D.J. Using leading indicators to forecast U.S. home sales in a bayesian vector autoregressive framework. Journal of Real Estate Finance and Economics 18 (1999) 191-205
14. Dua P., and Miller S.M. Forecasting connecticut home sales in a BVAR framework using coincident and leading indexes. Journal of Real Estate Finance and Economics 13 (1996) 219-235
15. Dua P., and Ray S.C. A BVAR model for the connecticut economy. Journal of Forecasting 14 (1995) 167-180
16. Elliott G., Rothenberg T.J., and Stock J. Efficient tests for an autoregressive unit root. Econometrica 64 (1996) 813-836
17. Forni M., Hallin M., Lippi M., and Reichlin L. The generalized dynamic factor model, one sided estimation and forecasting. Journal of the American Statistical Association 100 (2005) 830-840
18. Forni M., Hallin M., Lippi M., and Reichlin L. Do financial variables help forecasting inflation and real activity in the euro area?. Journal of Monetary Economics 50 (2003) 1243-1255
19. Forni M., Hallin M., Lippi M., and Reichlin L. The generalized dynamic factor model: identification and estimation. Review of Economics and Statistics 82 (2000) 540-554
20. Gupta R. Bayesian methods of forecasting inventory investment. South African Journal of Economics 77 (2009) 113-126
21. Gupta R., and Das S. Spatial Bayesian methods for forecasting house prices in six metropolitan areas of South Africa. South African Journal of Economics 76 (2008) 298-313
22. Gupta, R., Das, S., forthcoming. Predicting Downturns in the US Housing Market. Journal of Real Estate Economics and Finance.
23. Gupta R., and Kabundi A. A dynamic factor model for forecasting macroeconomic variables in South Africa. Working Paper No. 200815 (2008), Department of Economics, University of Pretoria
24. Gupta R., and Kabundi A. Forecasting macroeconomic variables using large datasets: dynamic factor model vs large-scale BVARs. Working Paper No. 200816 (2008), Department of Economics, University of Pretoria
25. Gupta R., and Kabundi A. Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models. Working Paper No. 200830 (2008), Department of Economics, University of Pretoria
26. Gupta R. Forecasting the South African economy with VARs and VECMs. South African Journal of Economics 74 (2006) 611-628
27. Gupta R., and Sichei M. A BVAR model for the South African economy. South African Journal of Economics 74 (2006) 391-409
28. Iacoviello, M., Neri, S., 2008. Housing market spillovers: evidence from an estimated DSGE model. Paper provided by Boston College Department of Economics in its series Boston College. Working Papers in Economics with Number 659.
29. International Monetary Fund, 2000. World Economic Outlook: Asset Prices and the Business Cycle.
30. Johnes G., and Hyclak T. House prices and regional labor markets. Annals of Regional Science 33 (1999) 33-49
31. Kinal T., and Ratner J. A VAR forecasting model of a regional economy: its construction and comparison. International Regional Science Review 10 (1986) 113-126
32. Kwiatowski D., Phillips P.C.B., Schmidt P., and Shin Y. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of Econometrics 54 (1992) 159-178
33. Litterman, R.B., 1981. A Bayesian procedure for forecasting with vector autoregressions. Working Paper. Federal Reserve Bank of Minneapolis.
34. Litterman R.B. Forecasting with Bayesian vector autoregressions - five years of experience. Journal of Business and Economic Statistics 4 (1986) 25-38
35. Liu G., and Gupta R. A small-scale DSGE model for forecasting the South African economy. South African Journal of Economics 75 (2007) 179-193
36. Liu, G., Gupta, R., Schaling, E., forthcoming-a. Forecasting the South African economy: a hybrid-DSGE approach. Journal of Economic Studies.
37. Liu, G., Gupta, R., Schaling, E., forthcoming-b. A New Keynesian DSGE model for forecasting the South African economy. Journal of Forecasting.
38. Lucas Jr. R.E. Econometric policy evaluation: a critique. Carnegie Rochester Conference Series on Public Policy 1 (1976) 19-46
39. Rapach D.E., and Strauss J.K. Differences in Housing Price Forecastability across U.S. States. International Journal of Forecasting 25 (2009) 351-371
40. Rapach D.E., and Strauss J.K. Forecasting real housing price growth in the eighth district states. Federal Reserve Bank of St. Louis. Regional Economic Development 3 (2007) 33-42
41. Shoesmith G.L. Co-integration, error correction and medium-term regional VAR forecasting. Journal of Forecasting 11 (1992) 91-109
42. Sims C.A., Stock J.H., and Watson M.W. Inference in linear time series models with some unit roots. Econometrica 58 (1990) 113-144
43. Sims C.A. Macroeconomics and reality. Econometrica 48 (1980) 1-48
44. Spencer D.E. Developing a Bayesian vector autoregression model. International Journal of Forecasting 9 (1993) 407-421
45. Stock J.H., and Watson M.W. Forecasting output and inflation: the role of asset prices. Journal of Economic Literature 41 (2003) 788-829
46. Theil H. Principles of Econometrics (1971), John Wiley, New York
47. Todd R.M. Improving economic forecasting with Bayesian vector autoregression. Quarterly Review Federal Reserve Bank of Minneapolis Fall (1984) 18-29
48. Topel R.H., and Rosen S. Housing investment in the United States. Journal of Political Economy 96 (1988) 718-740
49. Vargas-Silva C. The effect of monetary policy on housing: a factor augmented vector autoregression (FAVAR) approach. Applied Economics Letters 15 (2008) 749-752
50. Zellner A. A tale of forecasting 1001 series: the Bayesian knight strikes again. International Journal of Forecasting 2 (1986) 494
51. Zita S.E., and Gupta R. Modelling and forecasting the metical-rand exchange rate. ICFAI Journal of Monetary Economics VI (2008) 63-90