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題名：Predicting House Prices with Real-estate-related Stocks
書刊名：經濟論文叢刊
作者：林姿妤
作者(外文)：Lin, Tzu-yu
出版日期：2019
卷期：47:2
頁次：頁159-182
主題關鍵詞：房地產相關之股票價格；房價；樣本內與樣本外預測；Real-estate-related stock prices；House prices；In- and out-of-sample prediction
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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.
期刊論文
1.Okunev, John、Wilson, Patrick J.、Zurbruegg, Ralf(2000)。The causal relationship between real estate and stock markets。Journal of Real Estate Finance and Economics，21(3)，251-262。  new window
2.Plazzi, Alberto、Torous, Walter、Valkanov, Rossen(2010)。Expected Returns and Expected Growth in Rents of Commercial Real Estate。The Review of Financial Studies，23(9)，3469-3519。  new window
3.Gallin, Joshua(2008)。The Long-Run Relationship between House Prices and Rents。Real Estate Economics，36(4)，635-658。  new window
4.Inoue, Atsushi、Kilian, Lutz(2005)。In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?。Econometric Reviews，23(4)，371-402。  new window
5.Campbell, Sean D.、Davis, Morris A.、Gallin, Joshua、Martin, Robert F.(2009)。What Moves Housing Markets: A Variance Decomposition of the Rent-price Ratio。Journal of Urban Economics，66(2)，90-102。  new window
6.Del Negro, Marco、Otrok, Christopher(2007)。99 Luftballons: Monetary Policy and the House Price Boom across U.S. States。Journal of Monetary Economics，54(7)，1962-1985。  new window
7.Iacoviello, Matteo、Neri, Stefano(2010)。Housing Market Spillovers: Evidence from an Estimated DSGE Model。American Economic Journal: Macroeconomics，2(2)，125-164。  new window
8.Fama, Eugene F.(1981)。Stock Returns, Real Activity, Inflation, and Money。The American Economic Review，71(4)，545-565。  new window
9.Baffoe-Bonnie, John(1998)。The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: a national and regional analysis。The Journal of Real Estate Finance and Economics，17(2)，179-197。  new window
10.Chen, Shiu-Sheng(2014)。Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks。Economic Inquiry，52(2)，830-844。  new window
11.Gyourko, Joseph、Keim, Donald B.(1992)。What Does the Stock Market Tell Us About Real Estate Returns?。Journal of the American Real Estate and Urban Economics Association，20(3)，457-485。  new window
12.Bracke, Philippe(2013)。How long do housing cycles last? A duration analysis for 19 OECD countries。Journal of Housing Economics，22(3)，213-230。  new window
13.Barro, Robert J.(1990)。The Stock Market and Investment。Review of Financial Studies，3(1)，115-131。  new window
14.Chen, Yu-Chin、Rogoff, Kenneth S.、Rossi, Barbara(2010)。Can Exchange Rates Fore-cast Commodity Prices?。The Quarterly Journal of Economics，125(3)，1145-1194。  new window
15.Choi, Jongmoo Jay、Hauser, Shmuel、Kopecky, Kenneth J.(1999)。Does the stock market predict real activity? Time series evidence from the G-7 countries。Journal of Banking& Finance，23(12)，1771-1792。  new window
16.Chen, Shiu-Sheng(2016)。Commodity prices and related equity prices。Canadian Journal of Economics，49(3)，949-967。  new window
17.Sutton, Gregory D.(2002)。Explaining Changes in House Prices。BIS Quarterly Review，29(3)，46-55。  new window
18.Schwert, G. William(1990)。Stock Returns and Real Activity: A Century of Evidence。Journal of Finance，45(4)，1237-1257。  new window
19.Case, Karl E.、Shiller, Robert J.(1990)。Forecasting Prices and Excess Returns in the Housing Market。Real Estate Economics，18(3)，253-273。  new window
20.Fischer, Stanley、Merton, Robert C.(1984)。Macroeconomics and finance: The role of the stock market。Carnegie-Rochester Conference Series on Public Policy，21(1)，57-108。  new window
21.Campbell, John Y.、Shiller, Robert J.(1988)。The dividend-price ratio and expectations of future dividends and discount factors。The Review of Financial Studies，1(3)，195-228。  new window
22.Clark, Todd E.、West, Kenneth D.(2007)。Approximately Normal Tests for Equal Predictive Accuracy in Nested Models。Journal of Econometrics，138(1)，291-311。  new window
23.Iacoviello, Matteo(2005)。House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle。American Economic Review，95(3)，739-764。  new window
24.Campbell, John Y.、Thompson, Samuel B.(2008)。Predicting excess stock returns out of sample: Can anything beat the historical average?。Review of Financial Studies，21(4)，1509-1531。  new window
研究報告
1.Igan, Deniz、Loungani, Prakash(2012)。Global Housing Cycles。International Monetary Fund。  new window
2.Case, Karl E.、Quigley, John M.、Shiller, Robert J.(2013)。Wealth Effects Revisited: 1975-2012。National Bureau of Economic Research, Inc.。  new window
圖書
1.Moore, Geoffrey H.(1983)。Business Cycles, Inflation, and Forecasting。Cambridge, MA：National Bureau of Economic Research, Inc.。  new window
圖書論文
1.Chen, Yu-Chin、Rogoff, Kenneth S.、Rossi, Barbara(2012)。Predicting Agri-commodity Prices: An Asset Pricing Approach。Global Uncertainty and the Volatility of Agricultural Commodities Prices。IOS Press。  new window
2.Ghysels, Eric、Plazzi, Alberto、Valkanov, Rossen、Torous, Walter(2013)。Forecasting Real Estate Prices。Handbook of Economic Forecasting。Elsevier。  new window
 
 
 
 
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