Using Housing Futures in Mortgage Research

K-REx Repository

Show simple item record Zhu, Shuang Pace, R. Kelley Morales, Walter A. 2014-05-30T15:18:48Z 2014-05-30T15:18:48Z 2014-05-30
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 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 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

Files in this item

This item appears in the following Collection(s)

Show simple item record

Search K-REx

Advanced Search


My Account


Center for the

Advancement of Digital