A house price-at-risk model to monitor the downside risk for the spanish housing market

Gergely Ganics () and Maria Rodriguez-Moreno
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Gergely Ganics: Banco de España

No 2244, Working Papers from Banco de España

Abstract: We present a house price-at-risk (HaR) model that fits the historical developments in the Spanish housing market. By means of quantile regressions we show that a model including quarterly real house price growth, a misalignment measure and a consumer confidence index is able to accurately forecast the developments in the Spanish housing market up to two years ahead. We also show how the HaR model can be used to monitor the downside risk.

Keywords: house price-at-risk; house prices; quantile regressions (search for similar items in EconPapers)
JEL-codes: C31 E37 G01 R31 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2022-12
New Economics Papers: this item is included in nep-des, nep-mac, nep-rmg and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:2244

DOI: 10.53479/29472

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