Using Housing Futures in Mortgage Research

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dc.contributor.author Zhu, Shuang
dc.contributor.author Pace, R. Kelley
dc.contributor.author Morales, Walter A.
dc.date.accessioned 2014-05-30T15:18:48Z
dc.date.available 2014-05-30T15:18:48Z
dc.date.issued 2014-05-30
dc.identifier.uri http://hdl.handle.net/2097/17807
dc.description.abstract Expectations of housing prices play an important role in real estate research. Despite their importance, obtaining a reasonable proxy for such expectations is a challenge. The existing literature on mortgage research either does not include housing expectation proxies in empirical models, or uses “backward-looking” proxies such as past housing appreciation or time series forecasts based on past housing appreciation. This paper proposes to use the transaction prices of Case-Shiller housing futures as an alternative “forwardlooking” proxy. As an example, we compare the performances of four different expectation proxies in explaining mortgage default behavior. The loan level analysis shows that the futures based expectation proxy outperforms other proxies by having the highest regression model fit and being the only proxy that shows a significant negative effect on mortgage default behavior, as theory suggests. Out of sample predictions also show that futures have better prediction accuracy than other proxies. In addition, the paper shows that futures contain additional information that is not present in the backwardlooking proxies. en_US
dc.language.iso en_US en_US
dc.relation.uri http://link.springer.com/article/10.1007/s11146-012-9381-0 en_US
dc.subject Housing futures en_US
dc.subject Real estate futures en_US
dc.subject Housing expectation en_US
dc.subject House price expectation en_US
dc.subject Mortgage default en_US
dc.title Using Housing Futures in Mortgage Research en_US
dc.type Article (author version) en_US
dc.date.published 2014 en_US
dc.citation.doi 10.1007/s11146-012-9381-0 en_US
dc.citation.epage 15 en_US
dc.citation.issue 1 en_US
dc.citation.jtitle Journal of Real Estate Finance and Economics en_US
dc.citation.spage 1 en_US
dc.citation.volume 48 en_US
dc.contributor.authoreid shuangzhu en_US


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