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[Seminar] 財金系 10/13 (四) 中午 12:30 邀請 Prof. William Mingyan Cheung 演講
活動起日:2016-10-12 
發佈日期:2016-10-12 
瀏覽數:601  2017-02-12 更新

本系擬於 10/13 (四) 邀請 Prof. William Mingyan Cheung 至本所進行演講,相關訊息如下:

 

演講時間:105年10月13日 (星期四) 下午 12:30

講    題:Does Hedging Matter for Household Finance? Evidence from Hedging Housing Price Risks with Exchange Traded Options

演 講 者:William Mingyan Cheung

教    室:1 館 8 樓 財金系會議室

 

Abstract:

Hedging activities with housing derivatives are rare. In this study, we analyze the benefits of hedging downside risk of housing prices to U.S. homeowners using the standardized exchange traded option contracts on a set of well-developed U.S. home price indexes. We develop a stylized model and derive a set of inter-temporal relations between hedging benefits, interest costs and wages of homeowners. Our main premise is that the use of derivatives could generate savings for U.S. households when they need it the most. We estimate empirically the hedging benefits with vanilla put options on Case-Shiller Home Price Index futures from the Chicago Mercantile Exchange and Barone-Adesi and Whaley (1987) simulations. Our estimated benefits for an average U.S. homeowner who insured her full house value with CSI put options during the recent market downturn is between USD 5,140 and USD 9,100, equivalent to 4- to 7-month mortgage repayments. A Shapley-Owen variance decomposition test suggests that returns of options explain 20.14% of the variation of the Case-Shiller Index’s return. Furthermore, we find that the market liquidity of the put options explains the hedging benefits significantly. We extend this estimation to active home sellers, who would sell their properties for profit. This benefit is robust to various magnitudes of income shocks. We conclude that the use of exchange traded housing derivatives could benefit U.S. homeowners.