In many conturies real estate is most valuable aseet. And house price are volatile and real estate exposure is not traded as easy and flexible as stock and bonds. These make houses risky assets. But there are no markets that would allow individuals and institutions to hedge their risks. The establishment of Insurance Commodity linked home price index is likely to hedge away large risk in housing market. Many housing owners can’t hedge their housing risk due to the lack of understanding in real estate derivatives market.
We estimate the hedging effects to protect against the housing price changes using home price index. The result indicate that the hedge ratio is estimated almost 1:1 ratio, and hedging effectiveness is about 58%.
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@article{ART001912971}, author={Ryu Kang-min and Chang-Moo Lee}, title={Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul}, journal={The Korea Spatial Planning Review}, issn={1229-8638}, year={2014}, volume={82}, pages={97-106}, doi={10.15793/kspr.2014.82..007}
TY - JOUR AU - Ryu Kang-min AU - Chang-Moo Lee TI - Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul JO - The Korea Spatial Planning Review PY - 2014 VL - 82 IS - null PB - 국토연구원 SP - 97 EP - 106 SN - 1229-8638 AB - In many conturies real estate is most valuable aseet. And house price are volatile and real estate exposure is not traded as easy and flexible as stock and bonds. These make houses risky assets. But there are no markets that would allow individuals and institutions to hedge their risks. The establishment of Insurance Commodity linked home price index is likely to hedge away large risk in housing market. Many housing owners can’t hedge their housing risk due to the lack of understanding in real estate derivatives market.
We estimate the hedging effects to protect against the housing price changes using home price index. The result indicate that the hedge ratio is estimated almost 1:1 ratio, and hedging effectiveness is about 58%. KW - Insurance Commodity;Traded House Price Index;Hedge Ratio;Hedging Effectiveness DO - 10.15793/kspr.2014.82..007 ER -
Ryu Kang-min and Chang-Moo Lee. (2014). Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. The Korea Spatial Planning Review, 82, 97-106.
Ryu Kang-min and Chang-Moo Lee. 2014, "Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul", The Korea Spatial Planning Review, vol.82, pp.97-106. Available from: doi:10.15793/kspr.2014.82..007
Ryu Kang-min, Chang-Moo Lee "Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul" The Korea Spatial Planning Review 82 pp.97-106 (2014) : 97.
Ryu Kang-min, Chang-Moo Lee. Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. 2014; 82 97-106. Available from: doi:10.15793/kspr.2014.82..007
Ryu Kang-min and Chang-Moo Lee. "Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul" The Korea Spatial Planning Review 82(2014) : 97-106.doi: 10.15793/kspr.2014.82..007
Ryu Kang-min; Chang-Moo Lee. Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. The Korea Spatial Planning Review, 82, 97-106. doi: 10.15793/kspr.2014.82..007
Ryu Kang-min; Chang-Moo Lee. Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. The Korea Spatial Planning Review. 2014; 82 97-106. doi: 10.15793/kspr.2014.82..007
Ryu Kang-min, Chang-Moo Lee. Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul. 2014; 82 97-106. Available from: doi:10.15793/kspr.2014.82..007
Ryu Kang-min and Chang-Moo Lee. "Estimation of Hedge Ratio and Hedging Effectiveness Using Traded Apartment Price Index in Seoul" The Korea Spatial Planning Review 82(2014) : 97-106.doi: 10.15793/kspr.2014.82..007