A More Timely House Price Index

45 Pages Posted: 23 Jun 2016

See all articles by Elliot Anenberg

Elliot Anenberg

Board of Governors of the Federal Reserve System

Steven Laufer

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: June 15, 2016

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 show that 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 show that 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

Anenberg, Elliot and Laufer, Steven, A More Timely House Price Index (June 15, 2016). Available at SSRN: https://ssrn.com/abstract=2555765 or http://dx.doi.org/10.2139/ssrn.2555765

Elliot Anenberg (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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Steven Laufer

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
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