Year: 2013
Author: Pierdzioch, Christian, Rülke, Jan-Christoph, Stadtmann, Georg
Credit and Capital Markets – Kredit und Kapital, Vol. 46 (2013), Iss. 4 : pp. 495–521
Abstract
The U.S. subprime mortgage crisis has witnessed that house prices may have a profound effect on the economy. A key question for researchers and policymakers is what can be learnt from forecasts of changes in house prices. We use survey data from the WSJ forecast poll to analyze this question. Forecasts of changes in U.S. house prices are consistent with cross-sectional heterogeneity across forecasters with respect to the shape of their loss function. Forecasters' loss function often appears to be asymmetric with respect to the forecast error, especially in the case of medium-term forecasts. Assuming an asymmetric loss function often (but not always) makes forecasts look rational. The asymmetry of forecasters' loss function tended to increase during the recent recession, but this increase was not persistent.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/kuk.46.4.495
Credit and Capital Markets – Kredit und Kapital, Vol. 46 (2013), Iss. 4 : pp. 495–521
Published online: 2013-12
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 27
Keywords: D84 Housing starts Loss function Rationality of forecasts