[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/b/bis/bisbps/127.html
   My bibliography  Save this book

Historical monetary and financial statistics for policymakers: towards a unified framework

Author

Listed:
  • Claudio Borio
  • Øyvind Eitrheim
  • Marc Flandreau
  • Clemens Jobst
  • Jan F Qvigstad
  • Ryland Thomas
Abstract
In recent years, many central banks have engaged in data projects aimed at the collection and documentation of historical monetary and financial statistics (HMFS) for their respective countries. Long runs of data for key macroeconomic time series are increasingly being used in policy-oriented research. Information from these historical databases is used to draw parallels between current developments and historical events to shed light on today's policy issues in the areas of monetary and financial stability. The aim of the Bank for International Settlements (BIS) HMFS project is to establish a network between interested central banks that have already invested in local national HMFS databases, using the BIS as a hub. This BIS paper is an attempt to take stock of what counts as "good practice" in collating HMFS and how it should be implemented in different contexts.

Suggested Citation

  • Claudio Borio & Øyvind Eitrheim & Marc Flandreau & Clemens Jobst & Jan F Qvigstad & Ryland Thomas, 2022. "Historical monetary and financial statistics for policymakers: towards a unified framework," BIS Papers, Bank for International Settlements, number 127.
    • Handle: RePEc:bis:bisbps:127
    as

    Download full text from publisher

    File URL: http://www.bis.org/publ/bppdf/bispap127.pdf
    File Function: Full PDF document
    Download Restriction: no
    File URL: http://www.bis.org/publ/bppdf/bispap127.htm
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Katharina Knoll & Moritz Schularick & Thomas Steger, 2017. "No Price Like Home: Global House Prices, 1870-2012," American Economic Review, American Economic Association, vol. 107(2), pages 331-353, February.
    2. William N. Goetzmann, 2016. "Money Changes Everything: How Finance Made Civilization Possible," Economics Books, Princeton University Press, edition 1, number 10662.
    3. Carmona, Juan & Lampe, Markus & Rosés, Joan R., 2014. "Spanish Housing Markets, 1904-1934: New Evidence," Revista de Historia Económica / Journal of Iberian and Latin American Economic History, Cambridge University Press, vol. 32(1), pages 119-150, March.
    4. David Chambers & Christophe Spaenjers & Eva Steiner & Stijn Van Nieuwerburgh, 2021. "The Rate of Return on Real Estate: Long-Run Micro-Level Evidence [Inflation protection from homeownership: Long-run evidence, 1814–2008]," The Review of Financial Studies, Society for Financial Studies, vol. 34(8), pages 3572-3607.
    5. William N. Goetzmann & Liang Peng, 2002. "The Bias of the RSR Estimator and the Accuracy of Some Alternatives," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(1), pages 13-39.
    6. Collins, William J. & Margo, Robert A., 2007. "The Economic Aftermath of the 1960s Riots in American Cities: Evidence from Property Values," The Journal of Economic History, Cambridge University Press, vol. 67(4), pages 849-883, December.
    7. Ito, Seiichiro, 2013. "Registration and credit in seventeenth-century England," Financial History Review, Cambridge University Press, vol. 20(2), pages 137-162, August.
    8. Englund, Peter & Quigley, John M. & Redfearn, Christian L., 1998. "Improved Price Indexes for Real Estate: Measuring the Course of Swedish Housing Prices," Journal of Urban Economics, Elsevier, vol. 44(2), pages 171-196, September.
    9. Mick Silver, 2011. "House Price Indices: Does Measurement Matter?," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 12(3), pages 69-86, July.
    10. Wang, Ferdinand T. & Zorn, Peter M., 1997. "Estimating House Price Growth with Repeat Sales Data: What's the Aim of the Game?," Journal of Housing Economics, Elsevier, vol. 6(2), pages 93-118, June.
    11. Luke Samy, 2015. "Indices of House Prices and Rent Prices of Residential Property in London, 1895-1939," Economics Series Working Papers Number 134, University of Oxford, Department of Economics.
    12. Bourassa, Steven C. & Hoesli, Martin & Sun, Jian, 2006. "A simple alternative house price index method," Journal of Housing Economics, Elsevier, vol. 15(1), pages 80-97, March.
    13. Alfani, Guido, 2015. "Economic Inequality in Northwestern Italy: A Long-Term View (Fourteenth to Eighteenth Centuries)," The Journal of Economic History, Cambridge University Press, vol. 75(4), pages 1058-1096, December.
    14. Karl E. Case & Robert J. Shiller, 1987. "Prices of single-family homes since 1970: new indexes for four cities," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 45-56.
    15. de Vries, Paul & de Haan, Jan & van der Wal, Erna & Mariën, Gust, 2009. "A house price index based on the SPAR method," Journal of Housing Economics, Elsevier, vol. 18(3), pages 214-223, September.
    16. Allen C. Goodman & Thomas G. Thibodeau, 1998. "Dwelling Age Heteroskedasticity in Repeat Sales House Price Equations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(1), pages 151-171, March.
    17. Clark, Gregory, 2002. "Shelter From The Storm: Housing And The Industrial Revolution, 1550–1909," The Journal of Economic History, Cambridge University Press, vol. 62(2), pages 489-511, June.
    18. Min Hwang & John M. Quigley, 2004. "Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values," The Journal of Real Estate Finance and Economics, Springer, vol. 28(2_3), pages 161-178, March.
    19. Leo Grebler & David M. Blank & Louis Winnick, 1956. "Capital Formation in Residential Real Estate: Trends and Prospects," NBER Books, National Bureau of Economic Research, Inc, number greb56-1.
    20. David Chambers & Christophe Spaenjers & Eva Maria Steiner, 2020. "The Rate of Return on Real Estate: Long-Run Micro-Level Evidence," Working Papers hal-02896386, HAL.
    21. Peter Temin, 2001. "A Market Economy in the Early Roman Empire," Economics Series Working Papers 2001-W39, University of Oxford, Department of Economics.
    22. van Bavel, Bas, 2016. "The Invisible Hand?: How Market Economies have Emerged and Declined Since AD 500," OUP Catalogue, Oxford University Press, number 9780199608133.
    23. Margo, Robert A., 1996. "The Rental Price of Housing in New York City, 1830–1860," The Journal of Economic History, Cambridge University Press, vol. 56(3), pages 605-625, September.
    24. Joseph M. Silverstein, 2014. "House price indexes: methodology and revisions," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Jun.
    25. Gatzlaff Dean H. & Ling David C., 1994. "Measuring Changes in Local House Prices: An Empirical Investigation of Alternative Methodologies," Journal of Urban Economics, Elsevier, vol. 35(2), pages 221-244, March.
    26. Chinloy, Peter & Cho, Man & Megbolugbe, Isaac F, 1997. "Appraisals, Transaction Incentives, and Smoothing," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 89-111, Jan.-Marc.
    27. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
    28. Peter Temin, 2001. "A Market Economy in the Early Roman Empire," Oxford Economic and Social History Working Papers _039, University of Oxford, Department of Economics.
    29. Clapp, John M & Giaccotto, Carmelo, 1998. "Price Indices Based on the Hedonic Repeat-Sales Method: Application to the Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 16(1), pages 5-26, January.
    30. Geoffrey Meen, 2016. "Spatial housing economics: A survey," Urban Studies, Urban Studies Journal Limited, vol. 53(10), pages 1987-2003, August.
    31. Luke Samy, 2015. "Indices of House Prices and Rent Prices of Residential Property in London, 1895-1939," Oxford Economic and Social History Working Papers _134, University of Oxford, Department of Economics.
    32. Timothy Blackwell & Sebastian Kohl, 2019. "Historicizing housing typologies: beyond welfare state regimes and varieties of residential capitalism," Housing Studies, Taylor & Francis Journals, vol. 34(2), pages 298-318, February.
    33. Raff, Daniel & Wachter, Susan & Yan, Se, 2013. "Real estate prices in Beijing, 1644 to 1840," Explorations in Economic History, Elsevier, vol. 50(3), pages 368-386.
    34. Eric Clapham & Peter Englund & John M. Quigley & Christian L. Redfearn, 2006. "Revisiting the Past and Settling the Score: Index Revision for House Price Derivatives," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(2), pages 275-302, June.
    35. Harding, John P. & Rosenthal, Stuart S. & Sirmans, C.F., 2007. "Depreciation of housing capital, maintenance, and house price inflation: Estimates from a repeat sales model," Journal of Urban Economics, Elsevier, vol. 61(2), pages 193-217, March.
    36. Piet Eichholtz & Matthijs Korevaar & Thies Lindenthal & Ronan Tallec & Stijn Van Nieuwerburgh, 2021. "The Total Return and Risk to Residential Real Estate [House prices and fundamentals: 355 years of evidence]," The Review of Financial Studies, Society for Financial Studies, vol. 34(8), pages 3608-3646.
    37. Meese, Richard A & Wallace, Nancy E, 1997. "The Construction of Residential Housing Price Indices: A Comparison of Repeat-Sales, Hedonic-Regression and Hybrid Approaches," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 51-73, Jan.-Marc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:cte:whrepe:37433 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kholodilin, Konstantin A. & Limonov, Leonid E. & Waltl, Sofie R., 2021. "Housing rent dynamics and rent regulation in St. Petersburg (1880–1917)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 81.
    2. Francke, Marc & Korevaar, Matthijs, 2021. "Housing markets in a pandemic: Evidence from historical outbreaks," Journal of Urban Economics, Elsevier, vol. 123(C).
    3. Constantinescu, Mihnea & Francke, Marc, 2013. "The historical development of the Swiss rental market – A new price index," Journal of Housing Economics, Elsevier, vol. 22(2), pages 135-145.
    4. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2011. "A repeat sales index robust to small datasets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 29(1), pages 35-48, February.
    5. Bourassa, Steven C. & Hoesli, Martin & Sun, Jian, 2006. "A simple alternative house price index method," Journal of Housing Economics, Elsevier, vol. 15(1), pages 80-97, March.
    6. Marc K. Francke & Alex Minne, 2017. "The Hierarchical Repeat Sales Model for Granular Commercial Real Estate and Residential Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 511-532, November.
    7. Dorsey, Robert E. & Hu, Haixin & Mayer, Walter J. & Wang, Hui-chen, 2010. "Hedonic versus repeat-sales housing price indexes for measuring the recent boom-bust cycle," Journal of Housing Economics, Elsevier, vol. 19(2), pages 75-93, June.
    8. Jonathan D. Rose, 2022. "Reassessing the magnitude of housing price declines and the use of leverage in the Depressions of the 1890s and 1930s," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(4), pages 907-930, December.
    9. James Bugden, 2013. "Renovations and the Repeat-Sales House Price Index," Working Papers 2013.08, School of Economics, La Trobe University.
    10. Gray, Rowena, 2018. "Selection bias in historical housing data," QUCEH Working Paper Series 2018-01, Queen's University Belfast, Queen's University Centre for Economic History.
    11. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.
    12. Gouriéroux, Christian & Laferrère, Anne, 2009. "Managing hedonic housing price indexes: The French experience," Journal of Housing Economics, Elsevier, vol. 18(3), pages 206-213, September.
    13. Denis Conniffe & David Duffy, 1999. "Irish House Price Indices — Methodological Issues," The Economic and Social Review, Economic and Social Studies, vol. 30(4), pages 403-423.
    14. Wang, Ferdinand T. & Zorn, Peter M., 1997. "Estimating House Price Growth with Repeat Sales Data: What's the Aim of the Game?," Journal of Housing Economics, Elsevier, vol. 6(2), pages 93-118, June.
    15. Fehrle, Daniel & Heiberger, Christopher, 2024. "The return on everything and the business cycle in production economies," Economic Modelling, Elsevier, vol. 136(C).
    16. Victor Ginsburgh & Jianping Mei & Michael Moses, 2006. "On the computation of art indices in art," ULB Institutional Repository 2013/7290, ULB -- Universite Libre de Bruxelles.
    17. Stephen B. Billings, 2015. "Hedonic Amenity Valuation and Housing Renovations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(3), pages 652-682, September.
    18. Zhang, Lei & Yi, Yimin, 2017. "Quantile house price indices in Beijing," Regional Science and Urban Economics, Elsevier, vol. 63(C), pages 85-96.
    19. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2012. "Private residential price indices in Singapore: A matching approach," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 485-494.
    20. Jordan Rappaport, 2007. "A guide to aggregate house price measures," Economic Review, Federal Reserve Bank of Kansas City, vol. 92(Q II), pages 41-71.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:bisbps:127. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Martin Fessler (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.