Residential property prices’ modeling: evidence from selected European countries

Abstract

Purpose

The purpose of this study is to contribute to the relatively narrow existing residential real estate literature by developing and validating several univariate forecasting models, to reliably anticipate future house price dynamics across several European Union (EU) countries.

Design/methodology/approach

The research approach relies on the time series analysis, by using the Box–Jenkins autoregressive integrated moving average (ARIMA) methodology to explore the trends of residential property prices in selected EU countries and to obtain a snapshot of the potential signs of change to be witnessed by domestic residential markets on a short time-period. The analysis has been performed distinctly for each country in the sample, to account for country-specific past and future trends as well as similarities in their house price growth rate evolutions. The models were estimated for a broad sample of quarterly observations during 1990-2015, while the forecast horizon ranged between the third quarter of 2015 and the fourth quarter of 2016.

Findings

The findings suggested that residential property prices’ real growth rate can be modeled through the Box–Jenkins method for France, The Netherlands, Sweden and UK. The pattern of Italy’s residential property prices’ real growth rate cannot be explained by means of univariate ARIMA models, being more suited for multivariate models.

Originality/value

The article subscribes to the need for timely, high-frequency and quality data about house price trends in Europe, to increase the accuracy of forecasts and prevent the appearance of bubbles on real estate market. It compares residential property prices’ dynamics across European countries to identify housing markets with similar patterns of their prices.

Citation

Boitan, I.A. (2016), "Residential property prices’ modeling: evidence from selected European countries", Journal of European Real Estate Research, Vol. 9 No. 3, pp. 273-285. https://doi.org/10.1108/JERER-01-2016-0001