High Frequency House Price Indexes with Scarce Data

23 Pages Posted: 3 Jun 2016 Last revised: 6 Mar 2017

Steven C. Bourassa

Florida Atlantic University

Martin Hoesli

University of Geneva - Geneva School of Economics and Management (GSEM); University of Aberdeen - Business School; Swiss Finance Institute; University of Geneva - Geneva Finance Research Institute

Date Written: March 7, 2016

Abstract

We show how a method that has been applied to commercial real estate markets can be used to produce high frequency house price indexes for a city and for submarkets within a city. Our application of this method involves estimating a set of annual robust repeat sales regressions staggered by start date and then undertaking an annual-to-monthly (ATM) transformation with a generalized inverse estimator. Using transactions data for Louisville, Kentucky, we show that the method substantially reduces the volatility of high frequency indexes at the city and submarket levels. We demonstrate that both volatility and the benefits from using the ATM method are related to sample size.

Keywords: House Prices, High-Frequency Price Indexes, Repeat Sales Method, Scarce Data

JEL Classification: R31

Suggested Citation

Bourassa, Steven C. and Hoesli, Martin, High Frequency House Price Indexes with Scarce Data (March 7, 2016). Swiss Finance Institute Research Paper No. 16-27. Available at SSRN: https://ssrn.com/abstract=2789585 or http://dx.doi.org/10.2139/ssrn.2789585

Steven C. Bourassa

Florida Atlantic University ( email )

777 Glades Road
Boca Raton, FL 33431
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5028077642 (Phone)

Martin Edward Ralph Hoesli (Contact Author)

University of Geneva - Geneva School of Economics and Management (GSEM) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

University of Aberdeen - Business School ( email )

Edward Wright Building
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Aberdeen, Scotland AB24 3QY
United Kingdom
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

Swiss Finance Institute ( email )

24 rue du Général-Dufour
Geneva, CH - 1211
Switzerland

University of Geneva - Geneva Finance Research Institute ( email )

Geneva
Switzerland

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