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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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    Cited by:

    1. Michele Loberto & Andrea Luciani & Marco Pangallo, 2020. "What do online listings tell us about the housing market?," Papers 2004.02706, arXiv.org.
    2. 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).
    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. 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, Open Access Journal, vol. 12(3), pages 1-17, January.

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