Postcode‐Level House Price Models for Banking and Insurance Applications

15 Pages Posted: 14 Sep 2013

See all articles by Katja Hanewald

Katja Hanewald

UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR)

Michael Sherris

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies; UNSW Australia Business School

Date Written: September 2013

Abstract

This article develops and compares residential property price models required for banking and insurance applications including pricing, risk management and portfolio management. Our study is based on postcode‐level house prices for Sydney over the period 01–1979 to 03–2011. The estimation results of single‐factor panel data models show that the market‐wide house price index explains between 42 per cent and 44 per cent of the longitudinal and cross‐sectional variation in postcode‐level house price growth rates. Macroeconomic and financial variables, as well as geographic and sociodemographic postcode characteristics are confirmed as important factors for pricing and risk management of products exposed to house price risk.

Suggested Citation

Hanewald, Katja and Sherris, Michael, Postcode‐Level House Price Models for Banking and Insurance Applications (September 2013). Economic Record, Vol. 89, Issue 286, pp. 411-425, 2013. Available at SSRN: https://ssrn.com/abstract=2325730 or http://dx.doi.org/10.1111/1475-4932.12045

Katja Hanewald (Contact Author)

UNSW Sydney - School of Risk & Actuarial Studies and ARC Centre of Excellence in Population Ageing Research (CEPAR) ( email )

School of Risk & Actuarial Studies
UNSW Sydney
Sydney, New South Wales NSW 2052
Australia

Michael Sherris

University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies ( email )

UNSW Business School
Risk and Actuarial Studies
Sydney, NSW 2052
Australia
+61 2 9385 2333 (Phone)
+61 2 9385 1883 (Fax)

HOME PAGE: http://www.asb.unsw.edu.au/schools/Pages/MichaelSherris.aspx

UNSW Australia Business School ( email )

Sydney, NSW 2052
Australia

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