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Tuesday, April 28, 2009

House Prices: Compared to Stress Test Scenarios, and Seasonal Pattern

by Calculated Risk on 4/28/2009 10:14:00 AM

For more on house prices, please see: Case-Shiller: Prices Fall Sharply in February

Case-Shiller Stress Test Comparison Click on graph for larger image in new window.

The first graph compares the Case-Shiller Composite 10 index with the Stress Test scenarios from the Treasury (stress test data is estimated from quarterly forecasts).

The Stress Test scenarios use the Composite 10 index and start in December. Here are the numbers:

Case-Shiller Composite 10 Index, February: 154.70

Stress Test Baseline Scenario, February: 157.26

Stress Test More Adverse Scenario, February: 154.01

It has only been two months, but prices are tracking the More Adverse scenario so far.

But we have to remember the headline Case-Shiller is not seasonally adjusted, and there is a strong seasonal pattern. Update: there is a seasonally adjusted data set here.

Case-Shiller Seasonal Pattern This graph shows the month to month change (annualized) for the Case-Shiller Composite 10 index.

Prices usually decline at the fastest rate in the winter months (or increase the least with rising prices), and prices decline the slowest during the summer. Just something to remember when the month-to-month price declines slow this summer.

This is why we use the year-over-year (YoY) price change too (in previous post). The YoY change for the Composite 10 is -18.8%, the worst YoY change was last month (January 2009 at -19.4%). About the same.

I'll have some Case-Shiller city data soon.