Local house price comovements

Local Quantile House Price Indices

Locally weighted quantile regressions allow the coefficients of hedonic house price functions to vary over space. Using data on all house sales in Cook County, Illinois, for 20002011, I show how the full distribution of appreciation rates changed over time in small geographic areas. The estimates reveal significant spatial variation in appreciation rates both geographically and across the distr...

Crop Price Comovements During Extreme Market Downturns

This paper develops and estimates mixture models of crop price comovements using copula functions, which allow for departures from normality during extreme market circumstances. The models also account for unique time series patterns inherent in crop price data. The paper reaches two main conclusions. First, mixture models appear to provide an easy-to-estimate approach for capturing real-life c...

Understanding House-Price Dynamics

*The views expressed here are those of the author and do not necessarily represent the views of the Federal Reserve Bank of Philadelphia or the Federal Reserve System. or most homeowners, housing is the single most important component of their nonpension wealth. Therefore, a change in house prices greatly affects the total wealth of many households. Furthermore, movements in house prices can af...

House Price Index Methodologies

House Price Prediction Using LSTM

In this paper, we use the house price data ranging from January 2004 to October 2016 to predict the average house price of November and December in 2016 for each district in Beijing, Shanghai, Guangzhou and Shenzhen. We apply Autoregressive Integrated Moving Average model to generate the baseline while LSTM networks to build prediction model. These algorithms are compared in terms of Mean Squar...