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A More Timely House Price Index

Author

Listed:
  • Elliot Anenberg

    (Federal Reserve Board)

  • Steven Laufer

    (Federal Reserve Board)

Abstract

Using listings data, we construct a new repeat-sales house price index that describes house values at the contract date when the price is determined rather than the closing date when the property is transferred. We showthat this difference in timing helps explain several puzzles about house prices, including their strong short-term serial correlation and their weak correlation with stock prices and macroeconomic news shocks. In addition, we showthat a variant of our index that relies exclusively on listings data for recent transactions accurately reveals trends in house prices several months before existing price indexes like Case-Shiller become available.

Suggested Citation

  • Elliot Anenberg & Steven Laufer, 2017. "A More Timely House Price Index," The Review of Economics and Statistics, MIT Press, vol. 99(4), pages 722-734, July.
    • Handle: RePEc:tpr:restat:v:99:y:2017:i:4:p:722-734
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    File URL: http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00634
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    Citations

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    Cited by:

    1. Cohen, Jeffrey P. & Barr, Jason & Kim, Eon, 2021. "Storm surges, informational shocks, and the price of urban real estate: An application to the case of Hurricane Sandy," Regional Science and Urban Economics, Elsevier, vol. 90(C).
    2. Pfeifer Norbert & Steurer Miriam, 2022. "Early Real Estate Indicators during the COVID-19 Crisis," Journal of Official Statistics, Sciendo, vol. 38(1), pages 319-351, March.
    3. Peter Chinloy & William D. Larson, 2017. "The Daily Microstructure of the Housing Market," FHFA Staff Working Papers 17-01, Federal Housing Finance Agency.
    4. Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2023. "Nowcasting consumer price inflation using high-frequency scanner data: Evidence from Germany," Discussion Papers 34/2023, Deutsche Bundesbank.
    5. Trojanek, Radoslaw & Gluszak, Michal, 2022. "Short-run impact of the Ukrainian refugee crisis on the housing market in Poland," Finance Research Letters, Elsevier, vol. 50(C).
    6. Michele Loberto & Andrea Luciani & Marco Pangallo, 2022. "What Do Online Listings Tell Us about the Housing Market?," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    7. Jinah Yang & Daiki Min & Jeenyoung Kim, 2020. "The Use of Big Data and Its Effects in a Diffusion Forecasting Model for Korean Reverse Mortgage Subscribers," Sustainability, MDPI, vol. 12(3), pages 1-17, January.
    8. Wang, Xiaodan & Li, Keyang & Wu, Jing, 2020. "House price index based on online listing information: The case of China," Journal of Housing Economics, Elsevier, vol. 50(C).
    9. Michał Hebdzyński, 2024. "Price-setting factors or revealed preferences? How to understand the results of hedonic models and hedonic indices of the housing rental market that base on listings data?," Bank i Kredyt, Narodowy Bank Polski, vol. 55(4), pages 519-550.
    10. Michele Loberto & Andrea Luciani & Marco Pangallo, 2018. "The potential of big housing data: an application to the Italian real-estate market," Temi di discussione (Economic working papers) 1171, Bank of Italy, Economic Research and International Relations Area.
    11. Robert J. Hill & Norbert Pfeifer & Miriam Steurer & Radoslaw Trojanek, 2021. "Warning: Some Transaction Prices can be Detrimental to your House Price Index," Graz Economics Papers 2021-11, University of Graz, Department of Economics.
    12. Hill, Robert J. & Trojanek, Radoslaw, 2022. "An evaluation of competing methods for constructing house price indexes: The case of Warsaw," Land Use Policy, Elsevier, vol. 120(C).

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