@article{ART001753641},
author={Seungwoo Shin and You, Seungdong},
title={A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum},
journal={The Korea Spatial Planning Review},
issn={1229-8638},
year={2013},
volume={76},
pages={3-13},
doi={10.15793/kspr.2013.76..001}
TY - JOUR
AU - Seungwoo Shin
AU - You, Seungdong
TI - A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum
JO - The Korea Spatial Planning Review
PY - 2013
VL - 76
IS - null
PB - 국토연구원
SP - 3
EP - 13
SN - 1229-8638
AB - 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.
KW - JooTaekYeonKeum;GARCH;Adverse Selection;Volatility
DO - 10.15793/kspr.2013.76..001
ER -
Seungwoo Shin and You, Seungdong. (2013). A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum. The Korea Spatial Planning Review, 76, 3-13.
Seungwoo Shin and You, Seungdong. 2013, "A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum", The Korea Spatial Planning Review, vol.76, pp.3-13. Available from: doi:10.15793/kspr.2013.76..001
Seungwoo Shin, You, Seungdong "A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum" The Korea Spatial Planning Review 76 pp.3-13 (2013) : 3.
Seungwoo Shin, You, Seungdong. A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum. 2013; 76 3-13. Available from: doi:10.15793/kspr.2013.76..001
Seungwoo Shin and You, Seungdong. "A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum" The Korea Spatial Planning Review 76(2013) : 3-13.doi: 10.15793/kspr.2013.76..001
Seungwoo Shin; You, Seungdong. A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum. The Korea Spatial Planning Review, 76, 3-13. doi: 10.15793/kspr.2013.76..001
Seungwoo Shin; You, Seungdong. A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum. The Korea Spatial Planning Review. 2013; 76 3-13. doi: 10.15793/kspr.2013.76..001
Seungwoo Shin, You, Seungdong. A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum. 2013; 76 3-13. Available from: doi:10.15793/kspr.2013.76..001
Seungwoo Shin and You, Seungdong. "A Study on the Price Index of Housing Collateral Portfolio in JooTaekYeonKeum" The Korea Spatial Planning Review 76(2013) : 3-13.doi: 10.15793/kspr.2013.76..001
