Quotation Waltl, Sofie. 2016. A hedonic house price index in continuous time. International Journal of Housing Markets and Analysis. 9 (4), 648-670.




Purpose This paper aims to develop a methodology to accurately and timely measure movements in housing markets by constructing a continuously estimated house price index. Design/methodology/approach The continuous index, which is extracted from an additive model that includes the temporal and the locational effects as smooth functions, can be interpreted as an extension of the classical hedonic time-dummy method. The methodology is applied to housing sales from Sydney, Australia, between 2001 and 2011, and compared to three types of discrete indexes. Findings Discrete indexes turn out to approach the continuously estimated index with decreasing period lengths but eventually become wiggly and unreliable because of fewer observations per period. The continuous index, in contrast, is stable, has favourable robustness properties and is more objective in several ways. Originality/value The resulting index tracks movements in the housing market precisely and in “real-time” and is hence suited for monitoring and assessing housing markets. Because turbulence in housing markets is often a harbinger of financial crises, such monitoring tools support policymakers and investors in tailoring their decisions and reactions. Additionally, the index can be evaluated arbitrarily frequently and therefore is well suited for use in property derivatives.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Journal of Housing Markets and Analysis
Language English
Title A hedonic house price index in continuous time
Volume 9
Number 4
Year 2016
Page from 648
Page to 670
Reviewed? Y
URL http://www.emeraldinsight.com/doi/full-xml/10.1108/IJHMA-10-2015-0066
DOI http://dx.doi.org/10.1108/ijhma-10-2015-0066
Open Access N


Waltl, Sofie (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5329 Economics of location (Details)
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