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A cross-country quarterly database of real house prices: a methodological note

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  • Adrienne Mack
  • Enrique Martínez-García

Abstract

We build from (mainly) publicly available national sources a database of (nominal and real) house prices—complemented with data on private disposable income (PDI)—for 19 advanced countries at a quarterly frequency, starting in the first quarter of 1975. We select a house price index for each country that is consistent with the U.S. FHFA quarterly nationwide house price index for existing single-family houses (formerly called OFHEO house price index), and extend the country series back to 1975 with available historical data whenever necessary. Each house price index is seasonallyadjusted over the entire sample period and then rebased to 2005 = 100.> ; The house price indexes are expressed in nominal terms, and also in real terms using the personal consumption expenditure (PCE) deflator of the corresponding country. PDIs are always quoted in per capita terms using working age population of the corresponding country and can be similarly expressed in real terms with the PCE deflator. We aggregate all 19 countries in our database, weighted by their purchasing power parity-adjusted GDP shares in 2005, to compute an average (nominal and real) house price series and an average (nominal and real) per capita PDI series.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Dallas in its series Globalization and Monetary Policy Institute Working Paper with number 99.

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Date of creation: 2011
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Handle: RePEc:fip:feddgw:99

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Keywords: Macroeconomics - Econometric models ; Income ; Gross domestic product;

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  1. Morris A. Davis & Jonathan Heathcote, 2005. "Housing And The Business Cycle," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(3), pages 751-784, 08.
  2. Nathalie Girouard & Mike Kennedy & Paul van den Noord & Christophe André, 2006. "Recent House Price Developments: The Role of Fundamentals," OECD Economics Department Working Papers 475, OECD Publishing.
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Cited by:
  1. Roland Döhrn & György Barabas & Heinz Gebhardt & Tobias Kitlinksi & Martin Micheli & Simeon Vosen & Lina Zwick, 2013. "Die wirtschaftliche Entwicklung im Inland: Binnennachfrage trägt Aufschwung," RWI Konjunkturbericht, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, pages 64, 09.
  2. Bertay, A.C., 2014. "The Transmission of Real Estate Shocks Through Multinational Banks," Discussion Paper, Tilburg University, Center for Economic Research 2014-011, Tilburg University, Center for Economic Research.

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