Why House Price Indexes Differ; Measurement and Analysis
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.
|Date of creation:||01 May 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Steven C. Bourassa & Martin Hoesli & Jian Sun, 2004.
"A Simple Alternative House Price Index Method,"
FAME Research Paper Series
rp119, International Center for Financial Asset Management and Engineering.
- 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.
- Crowe, Christopher & Dell’Ariccia, Giovanni & Igan, Deniz & Rabanal, Pau, 2013.
"How to deal with real estate booms: Lessons from country experiences,"
Journal of Financial Stability,
Elsevier, vol. 9(3), pages 300-319.
- Pau Rabanal & Christopher W. Crowe & Giovanni Dell'Ariccia & Deniz Igan, 2011. "How to Deal with Real Estate Booms; Lessons From Country Experiences," IMF Working Papers 11/91, International Monetary Fund.
- 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, vol. 28(4), pages 299-317, 05.
- David E. Giles, 2011. "Interpreting Dummy Variables in Semi-logarithmic Regression Models: Exact Distributional Results," Econometrics Working Papers 1101, Department of Economics, University of Victoria.
- 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, vol. 12(3), pages 69-86, July.
- Paul A. Armknecht & Mick Silver, 2012.
"Post-Laspeyres; The Case for a New Formula for Compiling Consumer Price Indexes,"
IMF Working Papers
12/105, International Monetary Fund.
- Paul Armknecht & Mick Silver, 2014. "Post-Laspeyres: The Case for a New Formula for Compiling Consumer Price Indexes," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(2), pages 225-244, 06.
- Hwang, Min & Quigley, John M., 2003.
"Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values,"
Berkeley Program on Housing and Urban Policy, Working Paper Series
qt4045q0v3, Berkeley Program on Housing and Urban Policy.
- 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, vol. 28(2_3), pages 161-178, 03.
- 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, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- John Muellbauer & Anthony Murphy, 2008. "Housing markets and the economy: the assessment," Oxford Review of Economic Policy, Oxford University Press, vol. 24(1), pages 1-33, spring.
- Robert Hill, 2011. "Hedonic Price Indexes for Housing," OECD Statistics Working Papers 2011/1, OECD Publishing.
- 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, vol. 4(2), pages 127-46, June.
- Kees Jan Van Garderen & Chandra Shah, 2002. "Exact interpretation of dummy variables in semilogarithmic equations," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 149-159, June.
- Capozza, Dennis R. & Mack, Charlotte & Hendershott, Patric H. & Mayer, Christopher J., 2002. "The Determinants of House Price Dynamics," ERES eres2002_106, European Real Estate Society (ERES).
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:12/125. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.