scholarly journals Accounting for Spatial Variation of Land Prices in Hedonic Imputation House Price Indices: a Semi-Parametric Approach

2018 ◽  
Vol 34 (3) ◽  
pp. 695-720 ◽  
Author(s):  
Yunlong Gong ◽  
Jan de Haan
Keyword(s):  
Spatial Variation ◽  
Price Change ◽  
Parametric Method ◽  
House Price ◽  
Model Performance ◽  
Small City ◽  
Price Indices ◽  
Land Prices ◽  
House Price Indices ◽  
The Impact

Abstract Location is capitalized into the price of the land the structure of a property is built on, and land prices can be expected to vary significantly across space. We account for spatial variation of land prices in hedonic house price models using geospatial data and a semi-parametric method known as mixed geographically weighted regression. To measure the impact on aggregate price change, quality-adjusted (hedonic imputation) house price indices are constructed for a small city in the Netherlands and compared to price indices based on more restrictive models, using postcode dummy variables, or no location information at all. We find that, while taking spatial variation of land prices into account improves the model performance, the Fisher house price indices based on the different hedonic models are almost identical. The land and structures price indices, on the other hand, are sensitive to the treatment of location.

House Price Models for Banking and Insurance Applications: The Impact of Property Characteristics

2017 ◽  
Vol 0 (0) ◽  
Author(s):  
Adam W. Shao ◽  
Katja Hanewald ◽  
and Michael Sherris
Keyword(s):  
House Price ◽  
Hedonic Model ◽  
Price Indices ◽  
Individual Property ◽  
House Price Indices ◽  
Reverse Mortgages ◽  
Price Risks ◽  
The Impact ◽  
New Evidence ◽  
Allocation Decisions

AbstractHouse price indices are needed to assess house price risk in households’ portfolio allocation decisions and in many housing-related financial products such as reverse mortgages, mortgage insurance and real estate derivatives. This paper first introduces nine widely-used house price models to the insurance, risk management and actuarial literature and provides new evidence on the relative performance of these models. We then show how portfolio-level house price indices for properties with specific physical and locational characteristics can be constructed for these different models. All analyses are based on a large dataset of individual property transactions in Sydney, Australia, for the period 1971-2011. The unrestricted hedonic model and a hybrid hedonic repeat-sales model provide a good model fit and reliable portfolio-level house price indices. Our results are important for banks, insurers and investors that have exposure to house price risks.

scholarly journals More Reliable Land Price Index: Is There a Slope Effect?

Land ◽  
2021 ◽  
Vol 10 (3) ◽  
pp. 261
Author(s):  
Yi Huang ◽  
Geoffrey Hewings
Keyword(s):  
Land Use ◽  
Price Index ◽  
House Price ◽  
Land Values ◽  
Price Indices ◽  
Land Price ◽  
House Price Indices ◽  
Physical Attributes ◽  
Constant Quality

This paper focuses on the physical attributes of land that intrinsically limit land use and possibly affect land values. In particular, we investigate if the slope of a land does decrease its price and investigate the role of land slope in forming more reliable constant-quality land price indices and aggregate house price indices. We find that, while land slopes do decrease the land price per unit, they have a small effect on the quality-adjusted land price indices in selected neighborhoods in Auckland, New Zealand, where sloped terrain is common.

scholarly journals Measuring heterogeneity of house price developments in Hungary, 1990–2016

2018 ◽  
Vol 68 (3) ◽  
pp. 377-414
Author(s):  
Ádám Banai ◽  
Nikolett Vágó ◽  
Sándor Winkler
Keyword(s):  
Time Series ◽  
Housing Market ◽  
House Prices ◽  
House Price ◽  
Price Indices ◽  
Regional Heterogeneity ◽  
Economic Cycles ◽  
House Price Indices ◽  
Long Time ◽  
Index Family

This study presents the detailed methodology of generating house price indices for the Hungarian market. The index family is an expansion of the Hungarian housing market statistics in several regards. The nationwide index is derived from a database starting from 1990, and thus the national index is regarded as the longest in comparison to the house price indices available so far. The long time series allow us to observe and compare the real levels of house prices across economic cycles. Another important innovation of this index family is its ability to capture house developments by regions and settlement types, which sheds light on the strong regional heterogeneity underlying the Hungarian housing market.

Construction of real estate price indices for developing housing markets

2017 ◽  
Vol 10 (3) ◽  
pp. 371-383 ◽  
Author(s):  
Anthony Owusu-Ansah ◽  
William Mark Adolwine ◽  
Eric Yeboah
Keyword(s):  
Real Estate ◽  
House Price ◽  
Temporal Aggregation ◽  
Price Indices ◽  
Content Type ◽  
Real Estate Price ◽  
Aggregation Effect ◽  
Developing Markets ◽  
House Price Indices ◽  
Real Estate Price Indices

Purpose The purpose of this paper is to test whether temporal aggregation matters when constructing hedonic house price indices for developing markets using Ghana as a case study. Design/methodology/approach Monthly, quarterly, semi-yearly and yearly hedonic price indices are constructed and six null hypotheses are tested using the F-ratios to examine the temporal aggregation effect. Findings The results show that temporal aggregation may not be a serious issue when constructing hedonic house price indices for developing markets as a result of the smaller sample size which these markets normally have. At even 10 per cent significance level, none of the F-ratios estimated is statistically significant. Analysis of the mean returns and volatilities reveal that indices constructed at the lower level of temporal aggregation are very volatile, suggesting that the volume of transactions can affect the level of temporal aggregation, and so, the temporal aggregation level should not be generalised, as is currently observed in the literature. Originality/value The diversification importance of real estate and the introduction of real estate derivatives and home equity insurance as financial products call for the construction of robust and accurate real estate indices in all markets. While almost all empirical research recommends real estate price indices to be conducted at the lower level of temporal aggregation, these studies are largely conducted in developed markets where transactions take place frequently and large transaction databases exist. Unfortunately, little is known about the importance of temporal aggregation effect when constructing indices for developing real estate markets. This paper contributes to fill these gaps.

scholarly journals Daily House Price Indices: Construction, Modeling, and Longer-run Predictions

2015 ◽  
Vol 31 (6) ◽  
pp. 1005-1025 ◽  
Author(s):  
Tim Bollerslev ◽  
Andrew J. Patton ◽  
Wenjing Wang
Keyword(s):  
House Price ◽  
Price Indices ◽  
House Price Indices
Sign in / Sign up

Export Citation Format

Share Document