Commercial Property Price Indexes: Problems of Sparse Data, Spatial Spillovers, and Weighting

Mick Silver and Brian Graf

No 2014/072, IMF Working Papers from International Monetary Fund

Abstract: Transaction-price residential (house) and commercial property price indexes (RPPIs and CPPIs) have inherent problems of sparse data on heterogeneous properties, more so CPPIs. In an attempt to control for heterogeneity, (repeat-sales and hedonic) panel data regression frameworks are typically used for estimating overall price change. We address the problem of sparse data, demonstrate the need to include spatial price spillovers to remove bias, and propose an innovative approach to effectively weight regional CPPIs along with improvements to higher-level weighting systems. The study uses spatial panel regressions on granular CPPIs for the United States (US).

Keywords: WP; math; dummy variable; Commercial Property Price Indexes; House Price Indexes; Errors in Measurement; Spatial Econometrics; Spatial Panel Regressions; Index Number Weights; Moody's CPPIs; price inflation; inflation estimate; RCA CPPI weight; RCA building block index; transaction price; Moody's aggregation process; Land prices; Inflation; Price indexes; Logit models; Spatial models (search for similar items in EconPapers)
Pages: 30
Date: 2014-05-01
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Citations: View citations in EconPapers (5)

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