IDEAS home Printed from https://ideas.repec.org/a/taf/rjerxx/v38y2016i3p393-422.html
   My bibliography  Save this article

Long-Term Natural Cycle Momentum and Housing Price Changes in Israel, 1995–2013

Author

Listed:
  • Boris A. Portnov
  • Charles Ingene
  • Sagi Akron

Abstract

Measures of price momentum, typically a moving average of previous price changes, are known to improve the predictive power of empirical price models. We introduce polynomially-smoothed price-trend derivatives as a refined momentum measure and apply them to a database of 216 consecutive months of Israeli housing prices. Over the entire housing price cycle and for phases characterized by prices that increase or decrease at an accelerating or decelerating rate, our models perform better than models with only economic fundamentals or those that add a moving average of past prices. We also show that some predictor variables that are significant over the entire housing cycle are not key predictors in all four phases; moreover, momentum is a key explanatory variable in some but not all phases of the housing price cycle.

Suggested Citation

  • Boris A. Portnov & Charles Ingene & Sagi Akron, 2016. "Long-Term Natural Cycle Momentum and Housing Price Changes in Israel, 1995–2013," Journal of Real Estate Research, Taylor & Francis Journals, vol. 38(3), pages 393-422, July.
    • Handle: RePEc:taf:rjerxx:v:38:y:2016:i:3:p:393-422
    DOI: 10.1080/10835547.2016.12091449
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2016.12091449
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10835547.2016.12091449?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:rjerxx:v:38:y:2016:i:3:p:393-422. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rjer20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.