原创力文档- 1、本文档共16页，可阅读全部内容。
- 2、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
- 3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
- 5、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
- 6、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
- 7、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
- 8、VIP文档为合作方或网友上传，每下载1次， 网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档
查看更多
mortgage default risk and real estate prices the use of index
Mortgage Default Risk and Real Estate Prices 243
Journal of Housing Research • Volume 7, Issue 2 243
© Fannie Mae Foundation 1996. All Rights Reserved.
Mortgage Default Risk and Real Estate Prices: The Use
of Index-Based Futures and Options in Real Estate
Karl E. Case and Robert J. Shiller*
Abstract
This article makes the case for using index-based futures and options driven by region-specific
movements in house prices as the basis for hedging mortgage default risk. Taking the view that
mortgage holders write put options on real estate assets, the first part of the article lays out the
theoretical case for a hedging strategy based on house price changes. The second part reviews the
empirical literature on default risk and uses data from the Mortgage Bankers Association of
America and repeat sales indices to test for the significance of house price movements in predicting
mortgage default.
The results suggest that between 1975 and 1993, periods of high default rates strongly follow real
estate price declines or interruptions in real estate price increases. The relation between price
declines and foreclosure rates is modeled using a distributed lag. The results support the case for
a hedging strategy based on house price changes.
Keywords: default; hedging; mortgage-backed securities
Introduction
In a previous article (Case, Shiller, and Weiss 1993) we argued that there is a need for
a liquid, national hedging market in real estate prices. We proposed futures and options
markets that are cash-settled on the basis of indices of city or regional residential real
estate prices.
Individual homeowners are the largest bearers of residential real estate risk, and they
have the most to gain from hedging in such markets. Homeowners are for the most part
highly leveraged and undiversified. Most are unsophisticated
您可能关注的文档
- learning and leadership.pdf
- learning determinantal point strongprocessesstrong - penn engineering.pdf
- leadership structure separating the ceo and chairman of the.pdf
- leadership and strongmanagementstrong in china.pdf
- learning from ozclo, the australian computational and.pdf
- leadership strongprocessesstrong and leadership development advertisement.pdf
- learning joint top-down and bottom-up strongprocessesstrong for 3d visual.pdf
- learning nouns and adjectives a connectionist strongaccountstrong.pdf
- learning phonetic categories by learning a lexicon.pdf
- learning output kernels with block coordinate descent.pdf
文档评论（0）