EconPapers    
Economics at your fingertips  
 

Index Revision, House Price Risk, and the Market for House Price Derivatives

Yongheng Deng and John Quigley

Berkeley Program on Housing and Urban Policy, Working Paper Series from Berkeley Program on Housing and Urban Policy

Abstract: It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’ large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable benchmarks for house prices and settlement values. In the USA, a series of state and metropolitan indexes have been produced by a government agency (the US Office of Housing Enterprise Oversight, OFHEO), and they have been widely disseminated for over a decade. By construction, the entire historical path of each of these indexes is, in principle, subject to revision quarterly, that is, every time the index is recalculated and data are published. This paper provides the first analysis of the magnitude and bias of these revisions, and it analyzes their systematic effects on the settlement prices in housing options markets. The paper considers the implications of these magnitudes for the development of risk-reducing futures markets.

Keywords: repeat sales index; index revision; house price risk; house price derivative; Social and Behavioral Sciences (search for similar items in EconPapers)
Date: 2008-04-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
https://www.escholarship.org/uc/item/4sw0x30t.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: Index Revision, House Price Risk, and the Market for House Price Derivatives (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cdl:bphupl:qt4sw0x30t

Access Statistics for this paper

More papers in Berkeley Program on Housing and Urban Policy, Working Paper Series from Berkeley Program on Housing and Urban Policy Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().

 
Page updated 2025-03-24
Handle: RePEc:cdl:bphupl:qt4sw0x30t