2nd International Conference on Economics, Finance and
Transcription
2nd International Conference on Economics, Finance and
Abstract of Economics, Finance and Management Outlooks, 2014, Vol.2 DOI: 10.18488/journal.1003/2014.2/1003.2 2nd International Conference on Economics, Finance and Management Outlooks 20-21 December, 2014 Pearl International Hotel, Kuala Lumpur, Malaysia Conference Website: www.pakrdw.com nd Paper ID: 226/14/2 ICEFMO Long Range Dependency and Forecasting of Housing Price Index and Mortgage Market Rate: Evidence of Subprime Crisis Nadhem Selmi1 --- Nejib Hachicha2 1 Département de Méthodes Quantitatives, Faculté des Sciencesm Economiques et de Gestion Sfax Tunisie 2 Département de Méthodes Quantitatives, Faculté des Sciences, Economiques et de Gestion, Sfax – Tunisie Abstract In this paper, we examine and forecast the House Price Index (HPI) and mortgage market rate in terms of the description of the subprime crisis. We use a semiparametric local polynomial Whittle estimator proposed by Shimotsu et al. (2005) in a long memory parameter time series. Empirical investigation of HPI and mortgage market rate shows that these variables are more persistent when the d estimates are found on the Shimotsu method than on the one of Krunch (1987). The estimating forecast values are more realistic and they strongly reflect the present US economy actuality in the two series as indicated by the forecast evaluation topics. Keywords: Subprime crisis, Whittle, Prediction error. 52