【本期主题】 New methodology for constructing real estate price indices applied to the Singapore residential market

This paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macroprudential policy. The index is found to perform much better in out-of-sample prediction exercises than either the S&P/Case-Shiller index or the index based on standard hedonic methods.

【报告人】余俊             新加坡管理大学沈基文金融经济研究院院长

【时   间】10月14日        下午14:00

【地   点】明德主楼0515B（汉青交流室）

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【报告人简介】

余俊教授，1990年获得武汉大学学士学位，并于1998年获得加拿大西安大略大学经济学博士学位，现就职于新加坡管理大学，同时担任国际权威学术期刊《Econometric Theory》(计量经济学理论)和《Journal of Financial Econometrics》(金融计量学)的副主编。此外，余俊教授是国际金融计量学会(Society for Financial Econometrics) 的第一位亚洲理事，并于2011年被国际权威学术期刊 《Journal of Econometrics》 (计量经济学) 推选为 “Fellow of The Journal of Econometrics”，于2012年被国际金融计量学会推选为“Fellow of Society for Financial Econometrics”。与此同时，余俊教授还曾担任新加坡管理大学沈基文金融经济研究院 (Sim Kee Boon Institute for Financial Economics) 院长和研究院下属金融计量研究中心 (Center for Financial Econometrics) 主任。

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