House price cycles in Australia's four largest capital cities
MetadataShow full item record
© 2016The aims of this paper are twofold. First, we propose a threshold cube equation, augmented with the optimal number of autoregressive terms, to model the likely future path of house prices in Australia's four major capital cities. The proposed framework can be adopted to simulate house prices in other cities experiencing similar price cycles (spirals) such as London and Vancouver. Second, using a proprietary dataset not publicly available (1995m12–2015m10), we use the proposed model to simulate house prices in Brisbane, Melbourne, Perth and Sydney, which have been on a steep upward trajectory since 2013. To check the sensitivity and robustness of our results, we evaluate the model in terms of the out-of-sample accuracy for two separate 12-month periods. We find that the forecasting performance of the model appears to be reasonable. Then we use the model to provide the ex ante future path of house prices during the next twelve months (2015m11–2016m10). Although we do not seek to forecast all see-saw changes in property prices, based on the historical length of boom and bust cycles in the past, some interesting overall price paths are detected. It is observed that during the next year house prices in all capital cities will start plateauing with some likely moderate falls. This downward price adjustment is particularly more noticeable in Perth.
Showing items related by title, author, creator and subject.
Burke, T.; Stone, J.; Glackin, S.; Scheurer, Jan (2014)Despite the plethora of rental research, a significant gap remains in understanding the relationship between rental housing and 'transport disadvantage'. This project analyses the changing spatial concentration of ...
Sing, C.; Love, Peter; Fung, W.; He, Y. (2015)As a result of urban housing reform in China, it has become increasingly difficult for low and middle income families to purchase a house. In response to the growing demand for affordable housing, the Chinese Government ...
Valadkhani, A.; Costello, Gregory; Ratti, R. (2016)The aims of this paper are twofold. First, we propose a threshold cube equation, augmented with the optimal number of autoregressive terms, to model the likely future path of house prices in Australia’s four major capital ...