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

Author/Editor:

Mick Silver ; Brian Graf

Publication Date:

May 1, 2014

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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).

Series:

Working Paper No. 2014/072

Subject:

English

Publication Date:

May 1, 2014

ISBN/ISSN:

9781484364543/1018-5941

Stock No:

WPIEA2014072

Pages:

30

Please address any questions about this title to publications@imf.org