Property Derivatives and Index-Linked Mortgages

Syz, Juerg M.; Vanini, Paolo; Salvi, Marco

doi:10.1007/s11146-007-9071-5

Cited by 15 publications

(3 citation statements)

References 13 publications

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“…Conseil Supérieur du Notariat (CSN) and INSEE (the national statistical office of France) compute hedonic indexes for regions in France since 1998 (see Gouriéroux and Laferrère, ). Also, hedonic indexes are computed by Statistics Finland (see Saarnio, ), Statistics Norway (see Thomassen, ), Statistics Sweden (see Ribe, ), the Statistical Office of the Republic of Slovenia on an experimental basis (see Pavlin, ), RPData‐Rismark for Australia, Informations und Ausbildungszentrum für Immobilien for Zurich, Switzerland (the Zürcher Wohneigentumsindex ZWEX index—see Syz et al ., ), Verband Deutscher Pfandbriefbanken (VDP) and Hypoport AG for Germany (although these indexes lack transparency), and Recruit IPD Japan, the Japan Real Estate Institute and the Japan Research Institute (these indexes likewise lack transparency). According to Hoffman and Lorenz (), the German Federal Statistical Office is also in the process of developing hedonic indexes.…”

Section: Origins Of the Hedonic Approach And Its Application To The Hmentioning

confidence: 99%

Hedonic Price Indexes for Residential Housing: A Survey, Evaluation and Taxonomy

Hill

2012

Journal of Economic Surveys

145

122

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Every house is different. It is important that house price indexes take account of these quality differences. Hedonic methods which express house prices as a function of a vector of characteristics (such as number of bedrooms and bathrooms, land area and location) are particularly useful for this purpose. I consider here some developments in the hedonic methodology, as it is applied in a housing context, that have occurred in the last three decades. A number of hedonic house price indexes are now available. However, it is often difficult to see how these indexes relate to each other. For this reason I attempt to impose some structure on the literature by developing a taxonomy of hedonic indexes, and then show how existing indexes fit into this taxonomy. Also discussed are some promising areas for future research in the hedonic field. In particular, greater use needs to be made of spatial econometric and nonparametric methods to exploit the increased availability of geospatial data. The main criticisms of the hedonic approach are evaluated and compared with those of the repeat‐sales and stratified median methods. The overall conclusion is that the advantages of the hedonic approach outweigh its disadvantages.

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Section: Origins Of the Hedonic Approach And Its Application To The Hmentioning

confidence: 99%

Hedonic Price Indexes for Residential Housing: A Survey, Evaluation and Taxonomy

Hill

2012

Journal of Economic Surveys

145

122

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show abstract

“…There is a current of enthusiasm for this among three in five of those we spoke to: 'it makes sense; it reduces your personal risk' [Male,50]. They may not like insurance, but could well be open to other ways of risk-sharing, perhaps by embedding housing derivatives into a new generation of price−index-linked mortgages (Liu, 2006;Syz et al, 2006). Some, of course, are less comfortable with the idea, arguing that the concept is: On the whole, however, it is less surprising to learn that people find these ideas challenging than it is to document their readiness and ability to engage with such debates at all.…”

Section: Hedging Housing Riskmentioning

confidence: 99%

Rethinking the Risks of Home Ownership

Smith

Searle²,

Cook

2009

J. Soc. Pol.

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Most debate on home ownership and risk has focused on the management of mortgage debt. But there are other risks for home buyers in settings where housing dominates people's wealth portfolios: where the investment dimensions of property are at a premium; and where housing wealth is, de facto, an asset base for welfare. This article draws from qualitative research with 150 UK mortgage holders to assess the character, extent and possible mitigation of this wider risk regime. The analysis first explores the value home buyers attach to the financial returns on housing. Next we document the extent to which home equity is earmarked and used as a financial buffer. Finally, reflecting on the merits and limitations of this tactic, we conclude by asking whether -in the interests of housing and social policy, as well as with a view to managing the economy -there is any need, scope or appetite for more actively sharing the financial risks and investment gains of housing systems anchored on owner-occupation.

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“…Shiller and Weiss (1999) propose insurance policies to enable individuals to protect themselves against the risks of falls in the price of their homes. Other studies include empirical analysis of the real estate market, Englund et al (2002) and Iacoviello and Ortalo-Magne (2003) analyze the risk and the expected return of the hedge created by shorting real-estate stocks and an index whilst Syz et al (2007) address the hedging of real estate using an index, and indicate the importance of correlation between the real asset and the real estate index.…”

Section: Hedging Real Estate Investment Riskmentioning

confidence: 99%

Hedging Effectiveness of Total Returns Swaps: Application to the Japanese Market

Kago¹,

Ward²

2008

Book of Abstracts: 15th Annual European Real Estate Society Conference - Krakow, Poland

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The development of the real estate swap market offers many opportunities for investors to adjust the exposure of their portfolios to real estate. A number of OTC transactions have been observed in markets around the world. In this paper we examine the Japanese commercial real estate market from the point of view of an investor holding a portfolio of properties seeking to reduce the portfolio exposure to the real estate market by swapping an index of real estate for LIBOR. This paper explores the practicalities of hedging portfolios comprising small numbers of individual properties against an appropriate index. We use the returns from 74 properties owned by Japanese Real Estate Investment Trusts over the period up to September 2007. The paper also discusses and applies the appropriate stochastic processes required to model real estate returns in this application and presents alternative ways of reporting hedging effectiveness We find that the development of the derivative does provide the capacity for hedging market risk but that the effectiveness of the hedge varies considerably over time. We explore the factors that cause this variability.

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Property Derivatives and Index-Linked Mortgages

Cited by 15 publications

References 13 publications

Hedonic Price Indexes for Residential Housing: A Survey, Evaluation and Taxonomy

Hedonic Price Indexes for Residential Housing: A Survey, Evaluation and Taxonomy

Rethinking the Risks of Home Ownership

Hedging Effectiveness of Total Returns Swaps: Application to the Japanese Market

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