Nordre Ringgade 1
Aarhus, DK-8000
Denmark
Aarhus University - CREATES
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House prices, Forecasting, Partial least squares, Principal components, Macroeconomic factors
Consumption-based model, beginning-of-period timing convention, size and value premiums
business cycles, forecasting, factor analysis, probit model, sentiment variables
asset pricing, dividend yield, stock return predictability, dividend growth predictability, present-value relation, bootstrap, business cycles
consumption fluctuations, marginal utility, stock returns, predictability.
Internet search, housing markets, housing demand, forecasting, frictions, inelastic housing supply.
housing sentiment, house price forecastability, partial least squares, dynamic model averaging
End-of-the-year global economic growth, expected returns, international business cycle, in-sample and out-of-sample international return forecasts
Habit formation, Campbell-Cochrane model, surplus consumption ratio, GMM estimation, pricing errors, return predictability
Survey data, countercyclical expectations, extrapolative expectations
Forecasting housing markets, 50 states, Kalman filtering methods, Model change, Parameter shifts, Boom-bust cycle, Model averaging, Model selection
Consumption-based model, habit persistence, GMM, pricing error
Housing, business cycles, negative returns, co-movements
discount rate news, cash flow news, macroeconomic fluctuations
discount rates; investment growth; employment growth; cyclical consumption
