S&P・ケース・シラー住宅価格指数 / S&P/Case-Shiller Home Price Indices

S&P/Case-Shiller® Home Price Indices


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Standard & Poor's - S&P-Case-Shiller® Home Price Indices

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Mar/27/2007 09:37 S&P/Case-Shiller Home Price Index Declined 0.2% 
March 27 (Bloomberg) -- The price of homes in 20 U.S. metropolitan areas fell in January for the first time in at least six years, a private survey showed today. 
Home values dropped 0.2 percent from a year earlier, according to the S&P/Case-Shiller home-price index. The decrease was the first since the group started keeping year-over-year records in January 2001. 
The index is a composite of transactions in 20 metropolitan areas. 

The National Association of Realtors said last week that the median price of an existing home in February fell 1.3 percent from a year earlier, to $212,800. 
Commerce Department figures yesterday showed the median price of a new home dropped 0.3 percent in February to $250,000 from $250,800 a year earlier.
The S&P/Case-Shiller index and another by the Office of Federal Housing Enterprise Oversight track the same home over time and more accurately reflect price trends, economists said. 
The home-price measure was created by Shiller and Karl Case, an economics professor at Wellesley College, and is based on their research in the 1980s. Housing has undergone the biggest speculative boom in U.S. history, Shiller said in the second edition of his 2000 book, ``Irrational Exuberance,'' which predicted the stock market would collapse. 
The gauges from the Commerce Department and the Realtors group can be influenced by changes in the types of homes sold. Higher sales of cheaper homes relative to more-expensive properties will bias the figures down. 


S&P、米国大都市圏不動産価格指数を発表   2006 323

 スタンダード&プアーズは、MacroMarkets 社及びFiserv 社と共同でS&P/Case Shiller Metro Area Home Price Indices を算出することを発表した。
当初は、米国10 大都市圏それぞれの不動産価格指数、及び加重総合指数が1つ算出される。
10 都市とはボストン、シカゴ、デンバー、ラスベガス、ロサンゼルス、マイアミ、ニューヨーク通勤圏指数、サンディエゴ、サンフランシスコ、ワシントンDC

大多数のアメリカ人にとって、住宅は最大の資産である。米国連邦銀行のデータによると、住宅資産クラスの総額は2005 年末で21.6 兆ドルあり、米国株式市場の全時価総額を大きく上回るものである。住宅関連金融商品のニーズは高いだろう。

新指数の基礎となるのは、Case Shiller Weiss 社が1991年以来商業的に算出してきたFiserv Case-ShillerR指数(CStm)である。Fiserv 社はCase Shiller Weiss 2002 年に買収してFiserv CSW 社を設立し、Fiserv の子会社とした。CSI は住宅価格推移を表す最も信頼性のある指数として広く認識されるとともに、不動産市場調査を行う最大手の金融機関にも使用されている。

S&P/Case-Shiller Metro Area Home Price 指数は、Karl E.Case Robert J.Shiller により開発された「リピート・セールス」法により算出される。指数は、貸手や公共記録等の多様で複数の情報源から住宅売買に関する情報に基づく大規模かつ精細なデータベースを使用する。


How do the S&P/CS Home Price Indexes differ from other housing indexes?

There are two other major housing indexes: the National Association of Realtors (NAR) Indexes and the Office of Federal Housing Oversight (OFHEO) Indexes.

The NAR Indexes quote median values without recourse to a repeat sales methodology, which creates a significant potential for bias.

The OFHEO indexes do utilize a repeat sales methodology but are confined to Fannie Mae and Freddie Mac conforming mortgages, which are skewed to the lower end of the housing market.

This is a significant issue because only approximately one-sixth of housing in California is sold with a conforming mortgage. OFHEO indexes also utilize appraisal data to supplement their samples, which creates the possibility of bias that reflects the interests of those who are paying for the appraisal.

However, as all three indexes generally track the same phenomenon they are likely to move more or less in parallel.


Potential Confusion with OFHEO Index

Widely followed, repeat sales home price indexes have been calculated and published quarterly for many years by Freddie Mac and Fannie Mae, the two largest buyers of mortgages from mortgage brokers, across their inventory of “conforming” mortgages. A summary index from these two is published by OFHEO (Office of Federal Housing Enterprise Oversight), the government agency that regulates the two mortgage giants.

This means that everyone in the housing and finance markets has had access to a close cousin of the S&P/Case-Shiller Home Price Index. However, market participants will be getting slightly different and probably more accurate information because the correlation between the OFHEO and the S&P/Case-Shiller indexes from 2000 to 2005 is 0.858 as calculated by the Chicago Mercantile Exchange. While this is a very high correlation, it is enough less than 1.00 to provide profitable opportunities for computer-model-driven speculation.

The OFHEO, Freddie Mac and Fannie Mae indexes suffer from excluding mortgages above the conforming limit, currently $417,000, and from including home appraisals (no actual sale) done for mortgage refinancing. Price trends are different for more expensive homes and this category now includes most homes sold in high-priced California. Also, reappraisals have been shown to have an upward bias compared to actual sales. This makes homeowners feel good and usually does not affect the decision to approve or reject the refinancing application.

How will the market handle two measurements of the same concept? The S&P/Case-Shiller index is superior and more timely, but the OFHEO index covers more than a hundred additional cities and provides a national summary. There is room for confusion here, especially for the 10 cities with indexes published by both sources.

Chicago Board Options Exchange and NAR Index

It will get more confusing. The Chicago Board Options Exchange has announced that it will begin trading this spring for a home-price index based on the median-sales-price time series long published by the National Association of Realtors (NAR). This index comes from a sample of home sales for homes listed in local Multiple Listing Services.

The correlation of this index with the S&P/Case-Shiller index for 2000 to 2005 is 0.394, according to the Chicago Mercantile Exchange. This is a significant correlation, but the two measurement approaches clearly have major differences. The NAR index will be traded for four regions, a U.S. summary and for 10 (as yet unnamed) cities.

The fourth quarter of last year is the latest period covered by both the NAR and OFHEO indexes. The NAR index reported a 1.0% price decline while the OFHEO index reported a 3.0% price increase. Although the NAR index is conceptually inferior because it does not use repeat sales, it is likely to be a successful futures contract because of the national summary, the possibility that it will cover different cities and the powerful influence of the huge real estate trade association.


米国で戸建住宅価格の先物市場が登場 2006年05月02日