Tuesday, July 28, 2009

Case-Shiller House Price Seasonal Adjustment and Comparison to Stress Tests

Case-Shiller House Price Seasonal Adjustment and Comparison to Stress Tests

Have a look at this excellent post on Calculated Risk which looks at seasonality in real estate prices. Very interesting.

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5 comments:

jesse said...

I don't know if Teranet does similar adjustments on its HPI. It could go some way to explain the discrepancy between Teranet and benchmark prices in Vancouver.

jesse said...

You can view Teranet's methodology here (PDF). This is ubernerd territory and I don't know how it compares to Case-Shiller. From what I can tell there is no seasonal adjustment beyond 3 month averaging.

mohican said...

Yes, the teranet methodology paper does not allude to any seasonal adjustments but neither does the case shiller methodology paper.

It doesn't really matter over the long run but it is interesting to note the differences over various months - see calculated risk post.

December being the 'low' month and May being the 'high' month in the data.

Dyugle said...

Take a gander at the unemployment rate assumptions in the stress test.

Katie said...

I'll check out Teranet, but the IAS360 HPI is pretty comprehensive. They publish once a month, with only a one month lag. Their data displays info down to the neighborhood level, way more extensive than any other HPI I've checked into.