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Why House Price Indexes Differ

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  • Mick Silver

Abstract

A key element in the build-up to the global recession and subsequently was the movement in house price indexes (HPIs). These indexes are particularly prone to methodological and coverage differences which can undermine both within-country and cross-country economic analysis. The paper outlines key measurement issues and reports on empirical work using an international panel data set that (i) considers whether differences in HPI measurement matter and, if so, in what way, and (ii) revisits the measurement of global house price inflation and the modeling of the determinants of house price inflation using HPIs corrected for differences in measurement practice.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 12/125.

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Length: 38
Date of creation: 01 May 2012
Date of revision:
Handle: RePEc:imf:imfwpa:12/125

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Keywords: Consumer price indexes; Housing prices; inflation; price inflation; statistics; dummy variables; statistic; financial stability; explanatory power; inflation rates; standard errors; sample selection; arithmetic; equation; econometrics; surveys; dummy variable; equations; survey; probability; sample sizes; time series; number theory; sampling; independent variables; sampling error; price level; statistical data; samples; sample size; random sample;

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References

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  1. Steven C. Bourassa & Martin Hoesli & Jian Sun, 2004. "A Simple Alternative House Price Index Method," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp119, International Center for Financial Asset Management and Engineering.
  2. Kees Jan Van Garderen & Chandra Shah, 2002. "Exact interpretation of dummy variables in semilogarithmic equations," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 5(1), pages 149-159, June.
  3. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, Elsevier, vol. 108(1), pages 1-24, May.
  4. Pau Rabanal & Christopher W. Crowe & Giovanni Dell'Ariccia & Deniz Igan, 2011. "How to Deal with Real Estate Booms," IMF Working Papers 11/91, International Monetary Fund.
  5. Mick Silver, 2011. "House Price Indices: Does Measurement Matter?," World Economics, World Economics, Economic & Financial Publishing, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, World Economics, Economic & Financial Publishing, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 12(3), pages 69-86, July.
  6. Robert Hill, 2011. "Hedonic Price Indexes for Housing," OECD Statistics Working Papers 2011/1, OECD Publishing.
  7. Michelle H. Dreiman & Anthony Pennington-Cross, 2004. "Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 28(4), pages 299-317, 05.
  8. Min Hwang & John M. Quigley, 2004. "Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 28(2_3), pages 161-178, 03.
  9. Paul A. Armknecht & Mick Silver, 2012. "Post-Laspeyres," IMF Working Papers 12/105, International Monetary Fund.
  10. Quan, Daniel C & Quigley, John M, 1991. "Price Formation and the Appraisal Function in Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 4(2), pages 127-46, June.
  11. John Muellbauer & Anthony Murphy, 2008. "Housing markets and the economy: the assessment," Oxford Review of Economic Policy, Oxford University Press, Oxford University Press, vol. 24(1), pages 1-33, spring.
  12. Deniz Igan & Heedon Kang, 2011. "Do Loan-To-Value and Debt-To-Income Limits Work? Evidence From Korea," IMF Working Papers 11/297, International Monetary Fund.
  13. David E. Giles, 2011. "Interpreting Dummy Variables in Semi-logarithmic Regression Models: Exact Distributional Results," Econometrics Working Papers, Department of Economics, University of Victoria 1101, Department of Economics, University of Victoria.
  14. 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.
  15. Capozza, Dennis R. & Mack, Charlotte & Hendershott, Patric H. & Mayer, Christopher J., 2002. "The Determinants of House Price Dynamics," ERES, European Real Estate Society (ERES) eres2002_106, European Real Estate Society (ERES).
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Citations

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Cited by:
  1. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E Terrones, 2013. "Global House Price Fluctuations: Synchronization and Determinants," NBER International Seminar on Macroeconomics, University of Chicago Press, University of Chicago Press, vol. 9(1), pages 119 - 166.
  2. Ambrogio Cesa-Bianchi, 2012. "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," Research Department Publications, Inter-American Development Bank, Research Department 4810, Inter-American Development Bank, Research Department.
  3. Deniz Igan & Prakash Loungani, 2012. "Global Housing Cycles," IMF Working Papers 12/217, International Monetary Fund.
  4. Assil El Mahmah, 2013. "Constructing a real estate price index: the Moroccan experience," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Proceedings of the Sixth IFC Conference on "Statistical issues and activities in a changing environment", Basel, 28-29 August 2012., volume 36, pages 134-152 Bank for International Settlements.
  5. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco Terrones, 2013. "Global House Price Fluctuations," IMF Working Papers 13/38, International Monetary Fund.

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