Publicação
Measuring downside exposure in Europe's real estate market: a house price-at-risk approach using Quantiles via Moments
| Resumo: | This work project introduces a House Price-at-Risk (HaR) model by applying the Quantiles via Moments approach, developed by Machado and Santos Silva (2019), for the first time. Through quantile regressions, it is demonstrated that models incorporating combinations of the quarterly house price growth, a financial stress indicator, a domestic systematic risk indicator, real personal disposable income, the price-income ratio and residential gross fixed capital formation prove to be reliable predictors of house price developments for one, two and three years ahead. Inserting data for Germany into the optimal models shows substantial downside risk in the German housing market. |
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| Autores principais: | Windscheid, Elias |
| Assunto: | House price-at-risk Quantile regression Quantiles via moments Housing market Macroprudential analysis |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This work project introduces a House Price-at-Risk (HaR) model by applying the Quantiles via Moments approach, developed by Machado and Santos Silva (2019), for the first time. Through quantile regressions, it is demonstrated that models incorporating combinations of the quarterly house price growth, a financial stress indicator, a domestic systematic risk indicator, real personal disposable income, the price-income ratio and residential gross fixed capital formation prove to be reliable predictors of house price developments for one, two and three years ahead. Inserting data for Germany into the optimal models shows substantial downside risk in the German housing market. |
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