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来源类型Working Paper
规范类型报告
DOI10.3386/w5078
来源IDWorking Paper 5078
Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate
Karl E. Case; Robert J. Shiller; Allan N. Weiss
发表日期1995-04-01
出版年1995
语种英语
摘要Evidence is shown, using US foreclosure data by state 1975-93, that periods of high default rates on home mortgages strongly tend to follow real estate price declines or interruptions in real estate price increase. The relation between price decline and foreclosure rates is modelled using a distributed lag. Using this model, holders of residential mortgage portfolios could hedge some of the risk of default by taking positions in futures or options markets for residential real estate prices, were such markets to be established.
主题Financial Economics ; Financial Institutions
URLhttps://www.nber.org/papers/w5078
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/562513
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GB/T 7714
Karl E. Case,Robert J. Shiller,Allan N. Weiss. Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate. 1995.
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