使用房地產相關股票之價格預測房價

本文探討房地產相關股票之價格是否有助於預測房價。透過樣本內與樣本外預測分析，結果發現，房地產相關股票的價格對於美國房價的預測表現極佳。根據此實證結果，由於股票價格可及時反應市場資訊，且無資料修正問題，因此對於投資人及政策制定者而言，房地產相關股票之價格不失為房價之良好預測指標...

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Bibliographic Details
Published in經濟論文叢刊 Vol. 47; no. 2; pp. 159 - 182
Main Author 林姿妤(Tzu-Yu Lin)
Format Journal Article
LanguageChinese
Published 台灣 國立臺灣大學經濟學系 01.06.2019
Subjects
EconLit
house prices
in- and outof- sample prediction
real-estate-related stock prices
TSSCI
房價
房地產相關之股票價格
樣本內與樣本外預測
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Summary:本文探討房地產相關股票之價格是否有助於預測房價。透過樣本內與樣本外預測分析，結果發現，房地產相關股票的價格對於美國房價的預測表現極佳。根據此實證結果，由於股票價格可及時反應市場資訊，且無資料修正問題，因此對於投資人及政策制定者而言，房地產相關股票之價格不失為房價之良好預測指標
This paper investigates the forecasting content of real-estate-related stock prices for house prices. Using both in- and out-of-sample tests, this paper shows that real-estate-related stock price indices have extremely robust power in predicting US house prices. The empirical results are highly valuable for investors and policy makers because real-estate-related stock prices are shown to be a reliable predictor reflecting timely market information and are readily available to forecast real estate market movements.
ISSN:1018-3833