Home Price Indexes for Homes in Different Price Tiers: Biases and Corrections

Andrew Leventis ()
Additional contact information
Andrew Leventis: Federal Housing Finance Agency

No 12-01, FHFA Staff Working Papers from Federal Housing Finance Agency

Abstract: Under the repeat-transactions framework for constructing house price indexes, the paper analyzes the technical challenges associated with producing unbiased price indexes for homes in distinct price tiers. The basic problem is that the “tier” to which a given home truly belongs is unobservable and can vary over time. Various approaches to forming tiered indexes, including the methodology used in the formation of S&P/Case-Shiller tiered indexes, are analyzed. Some are shown to be susceptible to mean-reversion-related biases (under- or over-statement of price changes) when home prices reflect “true” home values plus transactions-related noise. Empirical comparisons of price trends in California as a whole and two California metropolitan areas--San Francisco and San Diego--are shown where indexes are constructed under various tier-classification schemes.

Pages: 25 pages
Date: 2012-01
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.fhfa.gov/document/wp1201.pdf (application/pdf)
https://www.fhfa.gov/research/papers/wp1201 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hfa:wpaper:12-01

Access Statistics for this paper

More papers in FHFA Staff Working Papers from Federal Housing Finance Agency Contact information at EDIRC.
Bibliographic data for series maintained by William Doerner ().