Index Revision, House Price Risk, and the Market for House Price Derivatives
It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumersâ€™ large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.
(This abstract was borrowed from another version of this item.)
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- J. Clapp, 1998.
"Revisions in Repeat Sales Price Indices: Here Today, Gone Tomorrow?,"
eres1998_128, European Real Estate Society (ERES).
- John M. Clapp & Carmelo Giaccotto, 1999. "Revisions in Repeat-Sales Price Indexes: Here Today, Gone Tomorrow?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(1), pages 79-104.
- Eric Clapham & Peter Englund & John M. Quigley & Christian L. Redfearn, 2006.
"Revisiting the Past and Settling the Score: Index Revision for House Price Derivatives,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 34(2), pages 275-302, 06.
- Clapham, Eric & Englund, Peter & Quigley, John M. & Redfearn, Christian L., 2007. "Revisiting the Past and Settling the Score: Index Revision for House Price Derivatives," Berkeley Program on Housing and Urban Policy, Working Paper Series qt1m2340dt, Berkeley Program on Housing and Urban Policy.
- Englund, Peter & Hwang, Min & Quigley, John M, 2002.
"Hedging Housing Risk,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 24(1-2), pages 167-200, Jan.-Marc.
- Englund, Peter & Hwang, Min & Quigley, John M., 2001. "Hedging Housing Risk," SIFR Research Report Series 2, Institute for Financial Research.
- Peter ENGLUND & Min HWANG & John M. QUIGLEY, 2000. "Hedging Housing Risk," FAME Research Paper Series rp26, International Center for Financial Asset Management and Engineering.
- Englund, Peter & Hwang, Min & Quigley, John M., 2002. "Hedging Housing Risk," Berkeley Program on Housing and Urban Policy, Working Paper Series qt06t5d6v0, Berkeley Program on Housing and Urban Policy.
- Matteo Iacoviello, 2002.
"Hedging Housing Risk in London,"
FMG Discussion Papers
dp415, Financial Markets Group.
- Matteo Iacoviello & François Ortalo-Magné, 2002. "Hedging housing risk in London," LSE Research Online Documents on Economics 24934, London School of Economics and Political Science, LSE Library.
- Matteo Iacoviello & Francois Ortalo-Magne, 2002. "Hedging Housing Risk in London," Boston College Working Papers in Economics 539, Boston College Department of Economics.
- François Ortalo-Magné & Matteo Iacoviello, . "Hedging Housing Risk in London," Wisconsin-Madison CULER working papers 02-03, University of Wisconsin Center for Urban Land Economic Research.
- Case, Karl E & Shiller, Robert J, 1989.
"The Efficiency of the Market for Single-Family Homes,"
American Economic Review,
American Economic Association, vol. 79(1), pages 125-37, March.
- Karl E. Case & Robert J. Shiller, 1988. "The Efficiency of the Market for Single-Family Homes," NBER Working Papers 2506, National Bureau of Economic Research, Inc.
- Jesse M. Abraham & William S. Schauman, 1991. "New Evidence on Home Prices from Freddie Mac Repeat Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 333-352.
- 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 ysm372, Yale School of Management, revised 23 Jan 2006.
- Quigley, John M., 2006. "Real estate portfolio allocation: The European consumers' perspective," Journal of Housing Economics, Elsevier, vol. 15(3), pages 169-188, September.
When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:37:y:2008:i:3:p:191-209. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.