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Unsmoothing Real Estate Returns : A Regime-Switching Approach
Lizieri, Colin - 2011
We propose newly developed unsmoothing techniques for appraisal-based real estate returns based on a regime-switching Threshold Autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive technique are misspecified and underestimate true...
Persistent link: https://www.econbiz.de/10013121574
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What drove the 2003-2006 house price boom and subsequent collapse? : disentangling competing explanations
Griffin, John M.; Kruger, Samuel; Maturana, Gonzalo - In: Journal of financial economics 141 (2021) 3, pp. 1007-1035
Persistent link: https://www.econbiz.de/10012873143
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Systematic and liquidity risk in subprime-mortgage backed securities
Dungey, Mardi H.; Dwyer, Gerald P. <jun.>; Flavin, Thomas J. - In: Open economies review 24 (2013) 1, pp. 5-32
Persistent link: https://www.econbiz.de/10009737967
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Driving Factors in Pricing European CMBS : Bond, Mortgage and Real Estate Characteristics
Tira, Giovanni Alberto - 2015
This work represents a first attempt to price European commercial mortgage backed securities (CMBS) and our results are …, mortgage and property-related variables in the pricing of European CMBS, along with macro-economic and financial factors used …, followed by real estate and mortgage market conditions. As floater coupon tranches tend to be riskier and exhibit higher …
Persistent link: https://www.econbiz.de/10013039367
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Land price dynamics and macroeconomic fluctuations with imperfect substitution in real estate markets
Davis, Scott; Huang, Kevin X. D.; Sapci, Ayse - In: Journal of economic dynamics & control 134 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013383745
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Credit Supply and the Housing Boom
Justiniano, Alejandro - 2015
lending constraints in the mortgage market. This view on the fundamental drivers of the boom is consistent with four empirical …, and the fall in mortgage rates. These facts are difficult to reconcile with the popular view that attributes the housing …
Persistent link: https://www.econbiz.de/10013017430
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Subprime credit, idiosyncratic risk, and foreclosures
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 175-189
Persistent link: https://www.econbiz.de/10012297241
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Continuous Workout Mortgages : efficient pricing and systemic implications
Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, … - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 244-274
Persistent link: https://www.econbiz.de/10012138488
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Credit Supply and the Housing Boom
Justiniano, Alejandro - 2015
constraints in the mortgage market. This view on the fundamental drivers of the boom is consistent with four empirical … fall in mortgage rates. These facts are difficult to reconcile with the popular view that attributes the housing boom to …
Persistent link: https://www.econbiz.de/10012457792
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Credit Supply and the Housing Boom
Justiniano, Alejandro - 2015
lending constraints in the mortgage market. This view on the fundamental drivers of the boom is consistent with four empirical …, and the fall in mortgage rates. These facts are difficult to reconcile with the popular view that attributes the housing …
Persistent link: https://www.econbiz.de/10013028389