A New Index of Housing Sentiment

Lasse Krøgholt Bork; Stig Vinther Møller; Thomas Quistgaard  Pedersen

doi:10.1287/mnsc.2018.3258

A New Index of Housing Sentiment

Lasse Krøgholt Bork, Stig Vinther Møller, Thomas Quistgaard Pedersen

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Abstract

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.

Original language	English
Journal	Management Science
Volume	66
Issue number	4
ISSN	0025-1909
DOIs	https://doi.org/10.1287/mnsc.2018.3258
Publication status	Published - 5 Aug 2019

Keywords

Housing sentiment
house price forecastability
partial least squares
dynamic model averaging

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10.1287/mnsc.2018.3258

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title = "A New Index of Housing Sentiment",

abstract = "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.",

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author = "Bork, {Lasse Kr{\o}gholt} and M{\o}ller, {Stig Vinther} and Pedersen, {Thomas Quistgaard}",

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AU - Møller, Stig Vinther

AU - Pedersen, Thomas Quistgaard

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N2 - 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.

AB - 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.

KW - Housing sentiment

KW - house price forecastability

KW - partial least squares

KW - dynamic model averaging

U2 - 10.1287/mnsc.2018.3258

DO - 10.1287/mnsc.2018.3258

M3 - Journal article

SN - 0025-1909

VL - 66

JO - Management Science

JF - Management Science

IS - 4

ER -

A New Index of Housing Sentiment

Abstract

Keywords

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