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Leading indicators for US house prices: New evidence and implications for EU financial risk managers
Authors
Tobias Basse
Frederik Kunze
Miguel Rodriguez Gonzalez
Danilo Saft
Publication date
1 January 2022
Publisher
Oxford : Wiley-Blackwell
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Abstract
This study draws on machine learning as a means to causal inference for econometric investigation. We utilize the concept of transfer entropy to examine the relationship between the US National Association of Home Builders Index and the S&P CoreLogic Case-Shiller 20 City Composite Home Price Index (SPCS20). The empirical evidence implies that the survey data can help to predict US house prices. This finding extends the results of Granger causality tests performed by Rodriguez Gonzalez et al. in 2018 using a new machine learning approach that methodologically differs from traditional methods in empirical financial research. © 2021 The Authors. European Financial Management published by John Wiley & Sons Ltd
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Institutionelles Repositorium der Leibniz Universität Hannover
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Last time updated on 01/11/2022