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Systemic risk and the refinancing ratchet effect
Khandani, Amir E.; Lo, Andrew W.; Merton, Robert C. - 2009 - This draft: September 13, 2009
, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system …
Persistent link: https://www.econbiz.de/10003889053
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The Uncertainty of House Prices and Real Options in China
Vergos, Konstantinos P. - 2018
This study investigates the real options with spatial analysis in China's real estate markets. We employ new detailed macro-level data set for 31 provinces in China to test the central predictions of real options with respect to land development. We extended the real options method with spatial...
Persistent link: https://www.econbiz.de/10012907553
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Hedging House Price Risk with Futures Contracts after the Bubble Burst
Schorno, Patrick J. - 2015
This paper extends the existing literature on managing house price risk. While previous work finds that a hedger would … significant decline in housing prices. The inability to hedge house price risk using CME futures contracts ultimately calls into …
Persistent link: https://www.econbiz.de/10013033439
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Property Investment and Rental Rates Under Housing Price Uncertainty : A Real Options Approach
Wang, Honglin - 2015
The conventional wisdom that housing prices are the present value of future rents ignores the fact that rents are not discretionary as in dividends on stocks. Housing price uncertainty can affect household property investment, which in turn affects rent. By extending the theory of investment...
Persistent link: https://www.econbiz.de/10013034654
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Hedging Commercial Real Estate Price Risk : Evidence from the U.S
Jokinen, Valtteri; Junttila, Juha-Pekka; Raatikainen, Juhani - 2021
Real Estate index (DJUSRE) can serve as a useful and effective hedge against the price risk of U.S. direct commercial real …
Persistent link: https://www.econbiz.de/10014361736
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Identification of financial factors in economic fluctuations
Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad - 2014 - First Draft: February 2013
We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock prices and investment but have a limited effect on inflation. In a second...
Persistent link: https://www.econbiz.de/10010387279
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Identification of Financial Factors in Economic Fluctuations
Furlanetto, Francesco - 2015
We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock prices and investment but have a limited effect on inflation. In a second...
Persistent link: https://www.econbiz.de/10013032942
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Macroeconomic determinants of stock market returns, volatility and volatility risk-premia
Corradi, Valentina (contributor);  … - 2008
This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents … require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate …
Persistent link: https://www.econbiz.de/10003848514
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Macroeconomic determinants of stock market volatility and volatility risk-premiums
Corradi, Valentina; Distaso, Walter; Mele, Antonio - 2012
This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents … require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate …
Persistent link: https://www.econbiz.de/10009558368
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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … dynamic semiparametric factor model (DSFM). -- correlation risk ; dimension reduction ; dispersion strategy ; dynamic factor …
Persistent link: https://www.econbiz.de/10009665551