S&P/Case-Shiller

S&P/Case-Shiller
Name	S&P/Case-Shiller
Type	Residential real estate price index
Developer	Standard & Poor's, Fiserv, Robert Shiller, Karl Case
Introduced	1987 (1987–2000 series), 2000 (expanded series)
Frequency	Monthly
Country	United States

S&P/Case-Shiller The S&P/Case-Shiller index series are widely cited measures of United States residential real estate price changes, constructed from repeat-sales data and maintained by S&P Dow Jones Indices in partnership with academics. The indices are used by market participants including Federal Reserve System officials, Bloomberg L.P. analysts, and housing researchers such as Robert J. Shiller and Karl E. Case. They serve as reference points for instruments issued by Fannie Mae, Freddie Mac, and private investors in securitization markets.

Overview

The indices report month‑over‑month and year‑over‑year percent changes in single‑family home prices for metropolitan areas such as New York City, Los Angeles, Chicago, San Francisco, and Washington, D.C.. They include composite measures like the 10‑City and 20‑City Composites and national series cited by entities including the U.S. Department of the Treasury, International Monetary Fund, and academics publishing in journals like the Journal of Finance. Market participants such as traders at Citigroup, portfolio managers at BlackRock, and commentators at The Wall Street Journal use these indices to gauge housing cycle dynamics.

History and Development

Development began with academic research by Karl E. Case and Robert J. Shiller at institutions including Barnard College, Yale University, and collaborators at Fidelity Investments. Initial repeat‑sales methodology work was influenced by housing market studies at Harvard University and by datasets gathered by Fidelity National Financial affiliates. In 1991 the first 20-city series was published, later expanded and commercialized through partnerships involving Standard & Poor's, FNC, Inc., and ultimately S&P Dow Jones Indices, with adoption by policy bodies such as the Federal Reserve Board and commentators at The New York Times.

Methodology and Index Construction

The indices use a repeat‑sales regression approach originating in studies by Robert J. Shiller and statistical techniques akin to hedonic adjustments used in analyses by researchers at Columbia University and Princeton University. Construction relies on matched pairs of individual property transactions, strung into a time series through methods related to the Case–Shiller method and iterative weighting schemes reflective of metropolitan housing stock counts from sources like the U.S. Census Bureau. Time‑series smoothing, seasonal adjustment, and quality control draw on practices found in work by economists at Massachusetts Institute of Technology and tools used by analysts at Moody's Analytics.

Coverage and Variants

Published variants include the 20‑City Composite, 10‑City Composite, single‑metropolitan indexes for areas such as Boston, Miami, Dallas, Seattle, and the National Home Price Index. Specialized products and licensed indices are used by firms such as Deutsche Bank, Goldman Sachs, and exchange operators like the Chicago Mercantile Exchange. Regional breakdowns correspond to Census Bureau metropolitan statistical areas named by Office of Management and Budget and allow comparisons with other series such as those from CoreLogic and the Federal Housing Finance Agency.

Uses and Impact

The indices serve as benchmarks for derivatives, structured products, and research cited by policymakers in the Federal Reserve System, commentators at CNBC, and analysts at J.P. Morgan Chase. Academics at Stanford University, University of Chicago, and London School of Economics use the data for empirical studies of housing wealth effects, while investors use the series to construct hedge positions through instruments listed by exchanges like the Chicago Board Options Exchange. Media coverage by outlets including The Economist and Financial Times amplifies their influence on public perceptions of housing markets.

Criticisms and Limitations

Scholars and practitioners at institutions such as University of California, Berkeley and New York University have noted limitations including sample selection bias, geographic coverage gaps compared with National Association of Realtors reports, and lags inherent to monthly reporting. Critics from think tanks like the Brookings Institution and commentators at Reuters point to challenges in accounting for renovations, new construction, and non‑arms‑length transactions, while methodologists at Carnegie Mellon University have debated volatility and aggregation effects.

Data Publication and Access

S&P Dow Jones Indices publishes monthly releases and maintains downloadable data feeds accessed by subscribers including financial firms like Morgan Stanley and academic users at University of Pennsylvania. Media summaries and charts appear on platforms such as Bloomberg Terminal and services run by Thomson Reuters, while licensed data underpin structured products marketed by institutions like Barclays and reported in analyses by research groups at Harvard Kennedy School.

Category:Indices