Hedonic price indices for the Paris housing market

  • In this paper, we calculate a transaction–based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account using an hedonic model. The functional form is specified using a general Box–Cox function. The data basis covers 84 686 transactions of the housing market in 1990:01–1999:12, which is one of the largest samples ever used in comparable studies. Low correlations of the price index with stock and bond indices (first differences) indicate diversification benefits from the inclusion of real estate in a mixed asset portfolio. JEL C43, C51, O18, R20.

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Author:Raimond MaurerORCiDGND, Martin Pitzer, Steffen Sebastian
Parent Title (German):Allgemeines Statistisches Archiv
Document Type:Article
Date of Publication (online):2005/10/07
Year of first Publication:2004
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2005/10/07
Tag:box-cox transformation; diversification; hedonic; index construction; real estate investments
Page Number:24
First Page:303
Last Page:326
Source:Allgemeines Statistisches Archiv 88, 303-326
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht