Abstract

We analyze the ability of a newspaper-based economic sentiment index of the United States to predict housing market movements using daily data from 2^nd August, 2007 to 19^th June, 2020. For this purpose, we use a nonparametric causality-in-quantiles test, which allows us to test for predictability over the entire conditional distribution of not only housing returns, but also volatility, by controlling for misspecification due to nonlinearity and structural breaks. Our results show that economic sentiment does predict housing returns (unlike the conditional mean-based Granger causality test) and volatility, barring the extreme upper ends of the respective conditional distributions.

摘要

我们分析美国的报纸为基础的经济景气指数的使用从2日数据来预测房地产市场走势的能力^届2007年8月19^日到2020年六月，为了这个目的，我们使用非参数因果关系中，位数测试，这使我们能够通过控制由于非线性和结构性断裂引起的错误指定来测试整个条件分布的可预测性，不仅是住房回报，还有波动性。我们的结果表明，经济情绪确实可以预测住房回报（与基于条件均值的格兰杰因果检验不同）和波动性，除非各自条件分布的极端上限。