Case–Shiller index: Difference between revisions
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==History and methodology== |
==History and methodology== |
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The indices are calculated from data on repeat sales of single family homes, an approach developed by economists [[Karl E. Case|Karl Case]], [[Robert Shiller]] and [[Allan Weiss]].<ref name="CNN Money article">{{cite web |url=http://money.cnn.com/2009/07/06/real_estate/robert_shiller_housing_market.fortune/index.htm?postversion=2009070710 |title=Bob Shiller didn't kill the housing market |accessdate=2009-07-07 |author=Katie Benner |date=2009-07-07 |work= |publisher=CNNMoney.com}}</ref> Case developed a method for comparing repeat sales of the same homes in an effort to study home pricing trends.<ref name="CNN Money article"/> He was using data from house sales in Boston in the early 1980s, which was going through a [[Boom and bust|housing price boom]]. While Case argued that such boom was ultimately unsustainable, he had not considered the idea of comparing it to a [[Economic bubble|bubble]], a now commonly-used term to describe similar market trends.<ref name="CNN Money article"/> Case sat down with Shiller, who was researching [[behavioral finance]] and economic bubbles, and together formed a repeat-sales index using home sales prices data from other cities across the country.<ref name="CNN Money article"/> In 1991, while Weiss was performing graduate studies under Shiller, he persuaded them to form a company, Case Shiller Weiss, to produce the index periodically with the intent of selling the information to the markets. [[Fiserv]], |
The indices are calculated from data on repeat sales of single family homes, an approach developed by economists [[Karl E. Case|Karl Case]], [[Robert Shiller]] and [[Allan Weiss]].<ref name="CNN Money article">{{cite web |url=http://money.cnn.com/2009/07/06/real_estate/robert_shiller_housing_market.fortune/index.htm?postversion=2009070710 |title=Bob Shiller didn't kill the housing market |accessdate=2009-07-07 |author=Katie Benner |date=2009-07-07 |work= |publisher=CNNMoney.com}}</ref> Case developed a method for comparing repeat sales of the same homes in an effort to study home pricing trends.<ref name="CNN Money article"/> He was using data from house sales in Boston in the early 1980s, which was going through a [[Boom and bust|housing price boom]]. While Case argued that such boom was ultimately unsustainable, he had not considered the idea of comparing it to a [[Economic bubble|bubble]], a now commonly-used term to describe similar market trends.<ref name="CNN Money article"/> Case sat down with Shiller, who was researching [[behavioral finance]] and economic bubbles, and together formed a repeat-sales index using home sales prices data from other cities across the country.<ref name="CNN Money article"/> In 1991, while Weiss was performing graduate studies under Shiller, he persuaded them to form a company, Case Shiller Weiss, to produce the index periodically with the intent of selling the information to the markets. [[Fiserv]], an information management company, bought Case Shiller Weiss in 2002 and, together with [[Standard & Poor]], developed tradable indices based on the data for the markets which are now commonly called the Case-Shiller index.<ref name="CNN Money article"/> |
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Options and futures based on Case-Shiller index are traded on Chicago Mercantile Exchange.<ref>http://www.cmegroup.com/trading/real-estate/files/spcaseshiller_fact_card.pdf</ref> |
Options and futures based on Case-Shiller index are traded on Chicago Mercantile Exchange.<ref>http://www.cmegroup.com/trading/real-estate/files/spcaseshiller_fact_card.pdf</ref> |
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==The national index== |
==The national index== |
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Revision as of 08:13, 11 September 2009
The Case-Shiller Home Price Indices are constant-quality house price indices for the United States. There are multiple Case-Shiller home price indices: A national home price index, a 20-city composite index, a 10-city composite index, and twenty individual metro area indices.
History and methodology
The indices are calculated from data on repeat sales of single family homes, an approach developed by economists Karl Case, Robert Shiller and Allan Weiss.[1] Case developed a method for comparing repeat sales of the same homes in an effort to study home pricing trends.[1] He was using data from house sales in Boston in the early 1980s, which was going through a housing price boom. While Case argued that such boom was ultimately unsustainable, he had not considered the idea of comparing it to a bubble, a now commonly-used term to describe similar market trends.[1] Case sat down with Shiller, who was researching behavioral finance and economic bubbles, and together formed a repeat-sales index using home sales prices data from other cities across the country.[1] In 1991, while Weiss was performing graduate studies under Shiller, he persuaded them to form a company, Case Shiller Weiss, to produce the index periodically with the intent of selling the information to the markets. Fiserv, an information management company, bought Case Shiller Weiss in 2002 and, together with Standard & Poor, developed tradable indices based on the data for the markets which are now commonly called the Case-Shiller index.[1]
Options and futures based on Case-Shiller index are traded on Chicago Mercantile Exchange.[2]
The national index
The S&P/Case-Shiller U.S. National Home Price Index is a composite of single-family home price indices for the nine U.S. Census divisions. It is updated quarterly. The national index is normalized to have a value of 100 in the first quarter of 2000.
The composite and city indices
This index family includes 20 metropolitan area indices and two composite indices as aggregates of the metropolitan areas. These indices are three month moving averages. The composite and city indices are normalized to have a value of 100 in January 2000.
The indices are calculated monthly by Fiserv, Inc. — the company that owns and maintains the index and is published with a two month lag on the last Tuesday of every month. Fiserv can provide a deeper view of home prices, at the zip code level beyond the 10 or 20 MSA view used by S&P.
Correlations
Macromarkets.com reports[3] the US index has a slightly negative correlation with stocks and bonds, but slightly positive correlation with commodities and Real Estate Investment Trusts (REIT). The correlation with REITs is surprisingly low.
Historical values
The national index attained its all-time high of 189.93 in 2006 Q2, and has declined in every subsequent quarter to date. As of July 2009, Case-Shiller index futures prices[4] are predicting declines to continue until mid-2010.
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Selected Quarterly S&P/Case-Shiller Index Values (1987-2008) -
Comparison the percentage change for the housing correction beginning in 2006 (red) and the correction (blue) beginning in 1989
| Selected Quarterly S&P/Case-Shiller Index Values[5] | ||||
|---|---|---|---|---|
| YEAR | Q1 | Q2 | Q3 | Q4 |
| 1987 | 62.03 | 64.09 | 65.32 | 66.18 |
| 1988 | 66.67 | 69.27 | 70.50 | 71.22 |
| 1989 | 72.43 | 74.40 | 75.22 | 75.37 |
| 1990 | 75.58 | |||
| 1991 | 73.43 | |||
| 1992 | 74.30 | |||
| 1993 | 74.46 | |||
| 1994 | 76.46 | |||
| 1995 | 77.74 | |||
| 1996 | 79.61 | |||
| 1997 | 81.82 | |||
| 1998 | 85.71 | |||
| 1999 | 92.08 | |||
| 2000 | 100.00 | |||
| 2001 | 109.27 | |||
| 2002 | 118.00 | |||
| 2003 | 130.48 | |||
| 2004 | 146.26 | 152.92 | 158.53 | 163.06 |
| 2005 | 169.19 | 176.70 | 183.08 | 186.97 |
| 2006 | 188.66 | 189.93 | 188.11 | 186.44 |
| 2007 | 184.83 | 183.16 | 179.94 | 170.39 |
| 2008 | 159.17 | 155.68 | 150.29 | 139.18 |
| 2009 | 128.81 | |||
On December 30, 2008, the index recorded its largest year over year drop.[6]
See also
References
- ^ a b c d e Katie Benner (2009-07-07). "Bob Shiller didn't kill the housing market". CNNMoney.com. Retrieved 2009-07-07.
- ^ http://www.cmegroup.com/trading/real-estate/files/spcaseshiller_fact_card.pdf
- ^ MacroMarkets
- ^ Case-Shiller index futures price quotes
- ^ http://www2.standardandpoors.com/spf/pdf/index/csnational_value_052619.xls
- ^ http://www.marketwatch.com/news/story/Home-prices-off-record-18/story.aspx?guid=%7B9FE8ED4C-C9FD-435D-ADD9-4DEE5973E030%7D