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Derivatives Markets for Home Prices

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  • Robert J. Shiller

Abstract

The establishment recently of risk management vehicles for home prices is described. The potential value of such vehicles, once they become established, is seen in consideration of the inefficiency of the market for single family homes. Institutional changes that might derive from the establishment of these new markets are described. An important reason for these beginnings of real estate derivative markets is the advance in home price index construction methods, notably the repeat sales method, that have appeared over the last twenty years. Psychological barriers to the full success of such markets are discussed.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 13962.

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Date of creation: Apr 2008
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Handle: RePEc:nbr:nberwo:13962

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  1. Joseph Gyourko & Christopher Mayer & Todd Sinai, 2013. "Superstar Cities," American Economic Journal: Economic Policy, American Economic Association, American Economic Association, vol. 5(4), pages 167-99, November.
  2. Karl Case & John Quigley, 2008. "How Housing Booms Unwind: Income Effects, Wealth Effects, and Feedbacks through Financial Markets," International Journal of Housing Policy, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(2), pages 161-180.
  3. Paul D. Childs & Steven H. Ott & Timothy J. Riddiough, 2002. "Optimal Valuation of Noisy Real Assets," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 30(3), pages 385-414.
  4. Andrew Caplin & William Goetzmann & Eric Hangen & Barry Nalebuff & Elisabeth Prentice & John Rodkin & Matthew Spiegel & Tom Skinner, 2003. "Home Equity Insurance: A Pilot Project," Yale School of Management Working Papers, Yale School of Management ysm372, Yale School of Management, revised 23 Jan 2006.
  5. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, American Economic Association, vol. 79(1), pages 125-37, March.
  6. Todd Sinai & Nicholas S. Souleles, 2003. "Owner-Occupied Housing as a Hedge Against Rent Risk," NBER Working Papers 9462, National Bureau of Economic Research, Inc.
  7. Genesove, David & Mayer, Christopher J, 1997. "Equity and Time to Sale in the Real Estate Market," American Economic Review, American Economic Association, American Economic Association, vol. 87(3), pages 255-69, June.
  8. Case, Karl E. & Quigley, John M. & Shiller, Robert J., 2003. "Home-buyers, Housing and the Macroeconomy," Berkeley Program on Housing and Urban Policy, Working Paper Series, Berkeley Program on Housing and Urban Policy qt0v59r392, Berkeley Program on Housing and Urban Policy.
  9. Jonathan H. Mark & Michael A. Goldberg, 1984. "Alternative Housing Price Indices: An Evaluation," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 12(1), pages 30-49.
  10. Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 18(3), pages 253-273.
  11. Robert J. Shiller, 1993. "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures," NBER Technical Working Papers 0131, National Bureau of Economic Research, Inc.
  12. Leamer, Edward E, 1983. "Let's Take the Con Out of Econometrics," American Economic Review, American Economic Association, American Economic Association, vol. 73(1), pages 31-43, March.
  13. Palmquist, Raymond B, 1980. "Alternative Techniques for Developing Real Estate Price Indexes," The Review of Economics and Statistics, MIT Press, vol. 62(3), pages 442-48, August.
  14. Edward L. Glaeser & Joseph Gyourko, 2006. "Housing Dynamics," NBER Working Papers 12787, National Bureau of Economic Research, Inc.
  15. Case, Bradford & Quigley, John M, 1991. "The Dynamics of Real Estate Prices," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 50-58, February.
  16. Deng, Yongheng & Quigley, John M. & Van Order, Robert, 1999. "Mortgage Terminations, Heterogeneity, and the Exercise of Mortgage Options," Berkeley Program on Housing and Urban Policy, Working Paper Series, Berkeley Program on Housing and Urban Policy qt96r560pg, Berkeley Program on Housing and Urban Policy.
  17. Loomes, Graham & Sugden, Robert, 1982. "Regret Theory: An Alternative Theory of Rational Choice under Uncertainty," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 92(368), pages 805-24, December.
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Cited by:
  1. Najeb Masoud & Glenn Hardaker, 2012. "The impact of financial development on economic growth: Empirical analysis of emerging market countries," Studies in Economics and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 29(3), pages 148-173, August.
  2. Jeske, Karsten & Krueger, Dirk & Mitman, Kurt, 2013. "Housing, mortgage bailout guarantees and the macro economy," Journal of Monetary Economics, Elsevier, Elsevier, vol. 60(8), pages 917-935.
  3. Robert J. Hill & Daniel Melser & Iqbal Syed, 2009. "Measuring a Boom and Bust: The Sydney Housing Market 2001-2006," Discussion Papers, School of Economics, The University of New South Wales 2009-08, School of Economics, The University of New South Wales.
  4. Robert M. Townsend & Shawn Cole & Jeremy Tobacman & Xavier Gine & James Ian Vickery & Petia Topalova, 2012. "Barriers to Household Risk Management," IMF Working Papers 12/195, International Monetary Fund.
  5. Cole, Shawn & Gine, Xavier & Tobacman, Jeremy & Topalova, Petia & Townsend, Robert & Vickery, James, 2010. "Barriers to household risk management : evidence from India," Policy Research Working Paper Series 5504, The World Bank.
  6. Ing-Haw Cheng & Sahil Raina & Wei Xiong, 2013. "Wall Street and the Housing Bubble," NBER Working Papers 18904, National Bureau of Economic Research, Inc.
  7. M.I. Dröes & H. Garretsen & W.J.J. Manshanden, 2012. "The Diversification Benefits of Free Trade in House Value," Working Papers, Utrecht School of Economics 12-03, Utrecht School of Economics.
  8. Dröes, Martijn I. & Hassink, Wolter H.J., 2013. "House price risk and the hedging benefits of home ownership," Journal of Housing Economics, Elsevier, Elsevier, vol. 22(2), pages 92-99.

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