ARIMA modelling of Lithuanian house price index. Issue 1 (2nd March 2015)

• Record Type: Journal Article
• Authors: Jadevicius, Arvydas; Huston, Simon
• Is Part Of: International journal of housing markets and analysis. Volume 8:Issue 1(2015)
• Page Start: 135
• Page End: 147
• Publication Date: 2015-03-02
• Subjects: Residential real estate -- Periodicals; 333.3382205
• DOI: 10.1108/IJHMA-04-2014-0010
• Languages: English
• ISSNs: 1753-8270

Abstract

<abstract> <title> <x content-type="archive" xml:space="preserve">Abstract</x> </title> <sec> <title content-type="abstract-heading">Purpose</title> <p> – This paper aims to investigate Lithuanian house price changes. Its twin motivations are the importance of information on future house price movements to sector stakeholders and the limited number of related Lithuanian property market studies. </p> </sec> <sec> <title content-type="abstract-heading">Design/methodology/approach</title> <p> – The study employs ARIMA modelling approach. It assesses whether past is a good predictor of the future. It then examines issues relating to an application of this univariate time-series modelling technique in a forecasting context. </p> </sec> <sec> <title content-type="abstract-heading">Findings</title> <p> – As the results of the study suggest, ARIMA is a useful technique to assess broad market price changes. Government and central bank can use ARIMA modelling approach to forecast national house price inflation. Developers can employ this methodology to drive successful house-building programme. Investor can incorporate forecasts from ARIMA models into investment strategy for timing purposes. </p> </sec> <sec> <title content-type="abstract-heading">Research limitations/implications</title> <p> – Certainly, there are number of limitations attached to this particular modelling approach. Firm predictions about house price movements are also a challenge, as well as more research needs to be done in establishing a dynamic interrelationship between macro variables and the Lithuanian housing market. </p> </sec> <sec> <title content-type="abstract-heading">Originality/value</title> <p> – Although the research focused on Lithuania, the findings extend to global housing market. ARIMA house price modelling provides insights for a spectrum of stakeholders. The use of this modelling approach can be employed to improve monetary policy oversight, facilitate planning for infrastructure or social housing as a countercyclical policy and mitigate risk for investors. What is more, a greater appreciation of Lithuania housing market can act as a bellwether for real estate markets in other trade-exposed small country economies.</p> </sec> </abstract>