Using Data on Seller Behavior to Forecast Short-Run House Price Changes

53 Pages Posted: 31 May 2017

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

Date Written: 2014-01-29

Abstract

We construct a new "list-price index" that accurately reveals trends in house prices several months before existing sales price indices like Case-Shiller. Our index is based on the repeat-sales approach but for recent months uses listings data, which are available essentially in real time, instead of transactions data, which become available with signiffcant lags. Our index methodology is motivated by a simple model of the home-selling problem that shows how listings variables such as the list price and marketing time help predict the final sales price. In a sample of three large MSAs over the years 2008-2012, our index (i) accurately forecasts the Case-Shiller index several months in advance, (ii) outperforms forecasting models that do not use listings data, and (iii) outperforms the market's expectation as inferred from prices on Case-Shiller future contracts.

Keywords: House price indices, house price forecasting, housing market microstructure

Suggested Citation

Anenberg, Elliot and Laufer, Steven, Using Data on Seller Behavior to Forecast Short-Run House Price Changes (2014-01-29). FEDS Working Paper No. 2014-16. Available at SSRN: https://ssrn.com/abstract=2976920

Elliot Anenberg (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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

Steven Laufer

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-475-6608 (Phone)
202-728-5889 (Fax)

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