Hedging housing price risks: some empirical evidence from the US

References

• Allen, F. and Gale, D., Financial Innovation and Risk Sharing, 1994 (MIT Press: Cambridge, MA).
   Google Scholar
• Athanasoulis, S. and Shiller, R., World income components: Measuring and exploiting risk-sharing opportunities. Am. Econ. Rev., 2001, 91, 1031–1054. doi: 10.1257/aer.91.4.1031
   Web of Science ®Google Scholar
• Athanasoulis, S. and Shiller, R., The significance of the market portfolio. Rev. Financ. Stud., 2000, 13, 301–329. doi: 10.1093/rfs/13.2.301
   Web of Science ®Google Scholar
• Atkeson, A.G., Eisfeldt, A.L. and Weill, P.O., Entry and exit in OTC derivatives markets. Econometrica, 2015, 83, 2231–2292. doi: 10.3982/ECTA11477
   Web of Science ®Google Scholar
• Banks, J., Blundell, R., Oldfield, Z. and Smith, J.P., House price volatility and the housing ladder. In Insights in the Economics of Aging, edited by David A. Wise, pp. 87–119, 2015 (University of Chicago Press: Chicago, IL).
   Google Scholar
• Barone-Adesi, G. and Whaley, R.E., Efficient analytic approximation of American option values. J. Finance, 1987, 42, 301–320. doi: 10.1111/j.1540-6261.1987.tb02569.x
   Web of Science ®Google Scholar
• Barrieu, P. and Karoui, N.E., Optimal design of derivatives in illiquid markets. Quant. Finance, 2002, 2, 181–188. doi: 10.1088/1469-7688/2/3/301
   Google Scholar
• Barrieu, P. and Karoui, N.E., Optimal derivatives design under dynamic risk measures. In Mathematics of Finance, edited by G. Yin and Q. Zhang, pp. 13–26, 2004, Volume 351 of Contemporary Mathematics (A.M.S. Proceedings: Providence, RI.).
   Google Scholar
• Bekaert, G., Harvey, C. and Lundblad, C., Does financial liberalization spur growth? J. Financ. Econ., 2007, 77, 3–55. doi: 10.1016/j.jfineco.2004.05.007
   Web of Science ®Google Scholar
• Björk, T. and Clapham, E., On the pricing of real estate index linked swaps. J. Hous. Econ., 2002, 11, 418–432. doi: 10.1016/S1051-1377(02)00121-3
   Web of Science ®Google Scholar
• Buttimer, R.J., Jr., Kau, J.B. and Slawson, C.V., A model for pricing securities dependent upon a real estate index. J. Hous. Econ., 1997, 6, 16–30. doi: 10.1006/jhec.1997.0202
   Web of Science ®Google Scholar
• Campbell, J. and Cocco, J., A model of mortgage default. J. Finance, 2015, 70, 1495–1554. doi: 10.1111/jofi.12252
   Web of Science ®Google Scholar
• Cao, M. and Wei, J., Pricing the weather. Risk, 2000, 13, 67–70.
   Google Scholar
• Cao, M. and Wei, J., Weather derivatives valuation and market price of weather risk. J. Futures Mark., 2004, 24, 1065–1089. doi: 10.1002/fut.20122
   Web of Science ®Google Scholar
• Case, K.E. and Shiller, R.J., The efficiency of the market for single-family homes. Am. Econ. Rev., 1989, 79, 125–137.
   Web of Science ®Google Scholar
• Case, K.E., Shiller, R.J. and Weiss, A.N., Index-based futures and options trading in real estate. J. Portf. Manag., 1993, 19, 83–92. doi: 10.3905/jpm.1993.409441
   Web of Science ®Google Scholar
• Cole, S., Sampson, T. and Zia, B., Prices or knowledge? What drives demand for financial services in emerging markets? J. Finance, 2011, 66, 1933–1967. doi: 10.1111/j.1540-6261.2011.01696.x
   Web of Science ®Google Scholar
• Cole, S., Giné, X., Tobacman, J., Topalova, P., Townsend, R. and Vickery, J., Barriers to household risk management: Evidence from India. Am. Econ. J., 2013, 5, 104–135.
   Google Scholar
• Damianov, D.S. and Escobari, D., Getting on and moving up theproperty ladder: Real hedging in the US housing market before and after thecrisis. Real Estate Econ., 2019, forthcoming.
   Google Scholar
• Deng, Y., Quigley, J. and Order, R., Mortgage terminations, heterogeneity, and the exercise of mortgage options. Econometrica, 2000, 68, 275–307. doi: 10.1111/1468-0262.00110
   Web of Science ®Google Scholar
• Dolls, M., Fuest, C. and Peichl, A., Automatic stabilizers and economic crisis: US vs. Europe. J. Public. Econ., 2012, 96, 279–294. doi: 10.1016/j.jpubeco.2011.11.001
   Web of Science ®Google Scholar
• Duarte, J. and McManus, D.A., Residential mortgage credit derivatives. Real Estate Econ., 2011, 39, 671–700. doi: 10.1111/j.1540-6229.2011.00309.x
   Web of Science ®Google Scholar
• Duffie, D. and Zhu, H., Does a central clearing counterparty reduce counterparty risk? Rev. Asset Pricing Stud., 2011, 1, 74–95. doi: 10.1093/rapstu/rar001
   Google Scholar
• Elul, R., Souleles, N.S., Chomsisengphet, S., Glennon, D. and Hunt, R., What ‘triggers’ mortgage default? Am. Econ. Rev., 2010, 100, 490–494. doi: 10.1257/aer.100.2.490
   Web of Science ®Google Scholar
• Englund, P., Hwang, M. and Quigley, J., Hedging housing risk. J. R. Estate Finance Econ., 2002, 24, 167–200. doi: 10.1023/A:1013942607458
   Web of Science ®Google Scholar
• Fabozzi, F.J., Shiller, R.J. and Tunaru, R., Property derivatives for managing European real-estate risk. Eur. Financial Manag., 2010, 16, 8–26. doi: 10.1111/j.1468-036X.2009.00528.x
   Web of Science ®Google Scholar
• Fabozzi, F.J., Shiller, R.J. and Tunaru, R.S., A pricing framework for real estate derivatives. Eur. Financial Manag., 2012, 18, 762–789. doi: 10.1111/j.1468-036X.2011.00635.x
   Web of Science ®Google Scholar
• Fabozzi, F.J., Shiller, R.J. and Tunaru, R.S., Evolution of real estate derivatives and their pricing. J. Deriv., 2019, 26, 7–21.
   Web of Science ®Google Scholar
• Fabozzi, F.J., Stanescu, S. and Tunaru, R.S., Commercial real estate risk management with derivatives. J. Portf. Manag., 2013, 39, 111–119. doi: 10.3905/jpm.2013.39.6.111
   Web of Science ®Google Scholar
• Federal Reserve, May 2015, Report on the Economic Well-Being of U.S. Households in 2014.
   Google Scholar
• Figlewski, S., Editor's letter. J. Deriv., 2015, 23, 1–3. doi: 10.3905/jod.2015.23.1.001
   Google Scholar
• Foucault, T., Pagano, M. and Roell, A., Market Liquidity: Theory, Evidence, and Policy, 2013 , 58 (Oxford University Press).
   Google Scholar
• Freddie Mac, Freddie Mac Update, Investor presentation, 2015. Available online at: http://www.freddiemac.com/investors/pdffiles/investor-presentation.pdf.
   Google Scholar
• Fuster, A. and Willen, P.S., Insuring consumption using income-linked assets. Rev. Financ., 2011, 15, 835–873. doi: 10.1093/rof/rfr021
   Web of Science ®Google Scholar
• Goetzmann, W.N., Caplin, A., Hangen, E., Nalebuff, B.J., Prentice, E., Rodkin, J., Spiegel, M.I. and Skinner, T., Home equity insurance: A pilot project. Yale ICF Working Paper No. 03-12, 2003. Available online at: http://ssrn.com/abstract=410141.
   Google Scholar
• Grömping, U., Estimators of relative importance in linear regression based on variance decomposition. Am. Stat., 2007, 61, 140–147. doi: 10.1198/000313007X188252
   Web of Science ®Google Scholar
• He, J., Wu, J. and Li, H.S., Hedging house price risk in China. Real Estate Econ., 2017, 45, 177–203. doi: 10.1111/1540-6229.12147
   Web of Science ®Google Scholar
• Hinkelman, C. and Swidler, S., Trading house price risk with existing futures contracts. J. R. Estate Finance Econ., 2008, 36, 37–52. doi: 10.1007/s11146-007-9075-1
   Web of Science ®Google Scholar
• Huettner, F. and Sunder, M. (Axiomatic arguments for decomposing goodness of fit according to Shapley and Owen values. Electron. J. Stat., 2012) 6, 1239–1250. doi: 10.1214/12-EJS710
   Web of Science ®Google Scholar
• Kahneman, D. and Tversky, A., Prospect theory: An analysis of decision under risk. Econometrica, 1979, 47, 263–292. doi: 10.2307/1914185
   Web of Science ®Google Scholar
• Kiefer, P., A search-based pricing model of credit default swaps. Working paper, UCLA, 2013. Available online at: https://ssrn.com/abstract=1714079.
   Google Scholar
• Lesmond, D., Liquidity of emerging markets. J. Financ. Econ., 2005, 77, 411–452. doi: 10.1016/j.jfineco.2004.01.005
   Web of Science ®Google Scholar
• Lesmond, D., Ogden, J. and Trzcinka, C., A new estimate of transaction costs. Rev. Financ. Stud., 1999, 12, 1113–1141. doi: 10.1093/rfs/12.5.1113
   Web of Science ®Google Scholar
• Loomes, G. and Sugden, R., Regret theory: An alternative theory of rational choice under uncertainty. Econ. J., 1982, 92, 805–824. doi: 10.2307/2232669
   Web of Science ®Google Scholar
• Robert, T.K., James, E.P. and Anandi, P.S., Random walks and market efficiency: Evidence from international real estate markets. J. Real Estate Res., 2002, 24, 279–298.
   Google Scholar
• Schiller, F., Seidler, G. and Wimmer, M., Temperature models for pricing weather derivatives. Quant. Finance, 2012, 12, 489–500. doi: 10.1080/14697681003777097
   Web of Science ®Google Scholar
• Shiller, R., Macro Markets: Creating Institutions for Managing Society's Largest Economic Risks, 1998 (Oxford University Press: Oxford).
   Google Scholar
• Shiller, R., Irrational Exuberance, First Edition, 2000 (Princeton University Press: Princeton, NJ).
   Google Scholar
• Shiller, R.J., Derivatives markets for home prices. In Housing Markets and the Economy: Risk, Regulation, and Policy: Essays in Honor of Karl E. Case, edited by E.L. Glaeser and J.M. Quigley, chapter 2, pp. 17–33, 2009 (Lincoln Institute of Land Policy: Cambridge, MA). Papers from a conference sponsored by the Lincoln Institute of Land Policy, held in December 2007.
   Google Scholar
• Shiller, R.J., Wojakowski, R.M., Ebrahim, M.S. and Shackleton, M.B., A systemic approach to home loans: Continuous Workouts vs Fixed Rate contracts, EFA Lugano, 2014.
   Google Scholar
• Uluc, A., Stabilising house prices: The role of housing futures trading. J. R. Estate Finance Econ., 2017, 1–35.
   Web of Science ®Google Scholar
• Van Bragt, D., Francke, M.K., Singor, S.N. and Pelsser, A., Risk-neutral valuation of real estate derivatives. J. Deriv., 2015, 23, 89–110. doi: 10.3905/jod.2015.23.1.089
   Web of Science ®Google Scholar
• Whaley, R.E., Valuation of American futures options: Theory and empirical tests. J. Finance, 1986, 41, 127–150. doi: 10.1111/j.1540-6261.1986.tb04495.x
   Web of Science ®Google Scholar