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Nowcasting Transaction-Based House Price Indices Using Web-Scraped Listings and MIDAS Regression

Radoslaw Trojanek, Luke Hartigan, Norbert Pfeifer and Miriam Steurer

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Timely transaction-based residential property price indices are crucial for effective monetary and macroprudential policy, yet transaction-based data often suffer from significant reporting delays. Online property platforms, by contrast, provide list prices of properties in real-time. This paper examines whether immediately available online list prices can improve timely nowcasts of transaction price movements. Using 16 years of micro-level data from Warsaw and Poznan, we construct quality-adjusted monthly list-price and quarterly transaction-price indices using the hedonic rolling-time-dummy method. We find that list-price indices consistently lead transaction-price indices by one to two months, with the strongest relationship in Warsaw's larger, more liquid market. Building on this lead-lag relationship, we develop a Mixed Data Sampling (MIDAS) regression framework to nowcast quarterly transaction-price growth using monthly list-price data. Our preferred MIDAS specifications reduce one-quarter-ahead root mean square error by approximately 16-23 percent for Warsaw and 5-15 percent for Poznan relative to standard autoregressive benchmarks. The predictive advantage is greatest when incorporating list-price data from the first or second month of the quarter, as third-month data introduce forward-looking noise. Our results show that properly constructed list-price indices can play an important role to provide early housing market signals, potentially enhancing the timeliness of policy responses.

Keywords: MIDAS regression; nowcasting; house price index; hedonic price index; macro-prudential supervision; online price data; rolling time dummy (search for similar items in EconPapers)
JEL-codes: C43 E01 E31 R31 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2025-08
New Economics Papers: this item is included in nep-ets
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https://crawford.anu.edu.au/sites/default/files/20 ... feifer_Steurer_1.pdf

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