A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum

Seungwoo Shin; You， Seungdong

doi:10.15793/kspr.2013.76..001

This study investigates the price index for collateral portfolios held by the Korea Housing Finance Corporation (HF). When individual homes in HF JooTaekYeonKeum collateral portfolios are sold repeatedly, we can construct a repeat-sales price index for such transactions. However, once an individual home is sold, the associated reverse mortgage contract must be terminated immediately. We therefore have to inflate and deflate the value of that individual home using an available price index with respect to location and property type. We calculate an HF portfolio price index from October 2007 to October 2010 using the Ministry of Land, Transport, and Maritime Affairs (MLTM) index and then analyze it by fitting it to a GARCH specification. This study finds that this HF index is a bit more volatile than either the MLTM or the KB indexes, even though both a correlation coefficient between the HF index and the MLTM index and a correlation coefficient between the HF index and KB index are statistically significant. However, we fail to provide statistically significant support for the adverse selection hypothesis. This paper provides a quantitative measure for risk management in JooTaekYeonKeum.

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