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Case-Shillher: Not just a home price index
Several months ago, Standard and Poor`s issued a recommendation to use the Case-Shiller non-seasonally adjusted Home Price Index (HPI) instead of the seasonally adjusted version of the index. Their reasoning was that seasonality in the index was no longer constant across time but, instead, seemed to be increasing in amplitude in recent years.
At the time, we (more specifically, our team member, Yeng Bun) reproduced S&P`s decomposition of HPI seasonality and compared it to that found in the Zillow Home Value Index (ZHVI). See the first figure below. Two aspects of this chart warrant attention. The first is the seasonality inherent in the Case-Shiller data (the pink line) which, of course, was the very reason behind S&P`s announcement in the first place. The second is the relative lack of seasonality in the ZHVI (the red line). This is one of the reasons that we frequently argue that the ZHVI gives you a better sense of what`s happening in the market than the Case-Shiller HPI.
Read the full article ]here.
Several months ago, Standard and Poor`s issued a recommendation to use the Case-Shiller non-seasonally adjusted Home Price Index (HPI) instead of the seasonally adjusted version of the index. Their reasoning was that seasonality in the index was no longer constant across time but, instead, seemed to be increasing in amplitude in recent years.
At the time, we (more specifically, our team member, Yeng Bun) reproduced S&P`s decomposition of HPI seasonality and compared it to that found in the Zillow Home Value Index (ZHVI). See the first figure below. Two aspects of this chart warrant attention. The first is the seasonality inherent in the Case-Shiller data (the pink line) which, of course, was the very reason behind S&P`s announcement in the first place. The second is the relative lack of seasonality in the ZHVI (the red line). This is one of the reasons that we frequently argue that the ZHVI gives you a better sense of what`s happening in the market than the Case-Shiller HPI.
Read the full article ]here.