The paper evaluates the forecasting performance of different models of house prices in Italy. We compare the forecasts of three models, not only by taking into account the actual path of some macroeconomic variables (such as households' disposable income or mortgages) but also by not considering this information. The models are estimated on the basis of quarterly data. Forecasts are evaluated over the period 2005-16.
The models considered in the analysis do not show significant differences in the forecasting performance one quarter ahead. Over a period between one and three years, when prices are mainly influenced by macroeconomic determinants, the most accurate forecasts are obtained by taking into account the actual path of disposable income and mortgages for house purchase. Their contribution to house price forecasts varies over time.
