Summary: 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.
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 by using an econometric model. The functional form is specified by using a general Box/Cox-function.The data base covers about 65% of the housing market in 1990-1999. Correction for incomplete data leads to a sample of 84 686 transactions. This sample is by far the largest ever used in comparable studies, and is therefore internationally an unique data coverage for housing markets.Keywords: real estate investments, hedonic, index construction, Box/Cox-transformation
Construction d'indices hédoniques du prix de transaction des appartements à ParisRésumée On calcule dans le présent article des indices immobiliers hédoniques à partir de prix de transaction. Le caractère hétérogène des biens immobiliers est pris en compte par un modèle économétrique qui utilise une fonction de Box/Cox générale.La base de données couvre environ 65% des transactions de logements sur la période 1990-1999. Après exclusion des transactions insuffisamment renseignées, elle contient 84 686 enregistrements, soit plusieurs fois le volume de données utilisé par des études similaires. Elle constitue donc une base de données exceptionnelle au niveau international.
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