A New Index of Housing Sentiment

• 成果类型: Article
• 署名作者: Bork, Lasse; Moller, Stig, V; Pedersen, Thomas Q.
• 署名单位: Aalborg University; Aarhus University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3258
• 发表日期: 2020
• 页码: 1563-1583
• 关键词: housing sentiment; house price forecastability; partial least squares; dynamic model averaging

摘要

We propose a new measure for housing sentiment and show that it accurately tracks expectations of future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that housing sentiment explains a large share of the time variation in house prices during both boom and bust cycles, and it strongly outperforms several macroeconomic variables typically used to forecast house prices.