Case-Shiller House Prices for May
Source: Calculated Risk Blogspot
Important Note: Case-Shiller hasn't released the Seasonally Adjusted data yet for May. There is a strong seasonal pattern for prices and this is the NSA data.
S&P/Case-Shiller released their monthly Home Price Indices for May this morning.
This monthly data includes prices for 20 individual cities, and two composite indices (10 cities and 20 cities). Note: This is not the quarterly national index.
The first graph shows the nominal seasonally adjusted Composite 10 and Composite 20 indices (the Composite 20 was started in January 2000).
The Composite 10 index is off 33.3% from the peak, and up slightly in May.
The Composite 20 index is off 32.3% from the peak, and up slightly in May.
NOTE: This is the NSA data, prices probably fell using the SA data.
The second graph shows the Year over year change in both indices.
The Composite 10 is off 16.8% over the last year.
The Composite 20 is off 17.1% over the last year.
This is still a very strong YoY decline.
The third graph shows the price declines from the peak for each city included in S&P/Case-Shiller indices.
The third graph shows the price declines from the peak for each city included in S&P/Case-Shiller indices.
Prices increased (NSA) in 14 of the 20 Case-Shiller cities in May. In Phoenix, house prices have declined 54.5% from the peak. At the other end of the spectrum, prices in Dallas are only off about 8% from the peak. Prices have declined by double digits almost everywhere.
Case-Shiller Prices Fall in May Seasonally Adjusted
Just a note to the previous post.
Case-Shiller has released the Seasonally Adjusted house price index.
Prices fell slightly in May (compared to April) for the Composite 10 and Composite 20 indexes.
Seasonally adjusted, prices fell in 12 of the 20 Case Shiller cities.
There is a strong seasonal pattern to house prices, and it is important to use the SA data. Unfortunately Case-Shiller did not release the SA data earlier this morning. This has lead to numerous incorrect headlines about prices increasing from April to May. That is correct, if they mention the data is Not Seasonally Adjusted.
Case-Shiller House Price Seasonal Adjustment and Comparison to Stress Tests
Case-Shiller released the May house price index this morning, and most news reports focused on the small increase, not seasonally adjusted (NSA), from April to May. As I noted earlier, the seasonally adjusted (SA) data showed a small price decline from April to May.
Case-Shiller reported that prices fell at a 2.5% annual rate in May (SA).
However I think the seasonal factor might be insufficient during the current period.
The following graph shows the month-to-month change of the Case-Shiller index for both the NSA and SA data (annualized). Note that Case-Shiller uses a three-month moving average to smooth the data.
The Blue line is the NSA data. There is a clear seasonal pattern for house prices.
The red dashed line is the SA data as provided by Case-Shiller.
The seasonal adjustment appears pretty good in the '90s, but it appears insufficient now. I expect that the index will show steeper declines, especially starting in October and November.
The second graph compares the Case-Shiller Composite 10 SA index with the Stress Test scenarios from the Treasury (stress test data is estimated from quarterly forecasts).
NOTE: I'm now using the Seasonally Adjusted (SA) composite 10 series.
The Stress Test scenarios use the Composite 10 index and start in December. Here are the numbers:
Edit correction: All data for May.
Case-Shiller Composite 10 Index, May: 151.13
Stress Test Baseline Scenario, May: 150.85
Stress Test More Adverse Scenario, May: 143.81
So far house prices are tracking the baseline scenario, but I believe the seasonal adjustment is insufficient and prices will decline faster in the Fall.
