Publications-Periodical Articles
Article View/Open
Publication Export
Google ScholarTM
NCCU Library
Citation Infomation
Related Publications in TAIR
| Title | Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market |
| Creator | 林士貴 Chuang, Ming-Che Yang, Wan-Ru Chen, Ming-Chi Lin, Shih-Kuei |
| Contributor | 金融系 |
| Key Words | MI contracts; Markov switching model; housing price cycles; jump risks; prepayment risks |
| Date | 2018 |
| Date Issued | 21-Mar-2018 17:31:51 (UTC+8) |
| Summary | Previous studies have investigated the determinants of housing price cycles in the housing market; however, we observed the phenomenon of housing price jumps in the 2007 subprime crisis. This paper presents a discussion on the housing price cycle and abnormal price jumps to describe the behavior of housing prices in the United Kingdom. The empirical results show that the impact factors of housing cycles are market risk and the switching factor. Furthermore, the impact factors of jump risks include the bursting of the housing bubble and financial crises. Therefore, in this paper, we employ the Markov switching model with jump risks to value the MI contracts and analyze the influences of housing price cycles, jump risks, risks of market interest rate, and the prepayment risks on MI premiums. The results of sensitivity analysis show that more volatile housing price index returns, as well as longer periods of higher volatility in housing prices, raise MI premiums. Moreover, the MI premium is positively related to the absolute value of the average jump amplitude and the shock frequency of abnormal events. There is the tradeoff between the market interest rate and the prepayment risk. The influences of market interest rate are different on MI premium with/without prepayment risks. |
| Relation | EUROPEAN JOURNAL OF FINANCE, 24(11), 909-943 |
| Type | article |
| DOI | https://doi.org/10.1080/1351847X.2017.1359199 |
| dc.contributor | 金融系 | zh_Tw |
| dc.creator (作者) | 林士貴 | zh_TW |
| dc.creator (作者) | Chuang, Ming-Che | en_US |
| dc.creator (作者) | Yang, Wan-Ru | en_US |
| dc.creator (作者) | Chen, Ming-Chi | en_US |
| dc.creator (作者) | Lin, Shih-Kuei | en_US |
| dc.date (日期) | 2018 | en_US |
| dc.date.accessioned | 21-Mar-2018 17:31:51 (UTC+8) | - |
| dc.date.available | 21-Mar-2018 17:31:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Mar-2018 17:31:51 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/116395 | - |
| dc.description.abstract (摘要) | Previous studies have investigated the determinants of housing price cycles in the housing market; however, we observed the phenomenon of housing price jumps in the 2007 subprime crisis. This paper presents a discussion on the housing price cycle and abnormal price jumps to describe the behavior of housing prices in the United Kingdom. The empirical results show that the impact factors of housing cycles are market risk and the switching factor. Furthermore, the impact factors of jump risks include the bursting of the housing bubble and financial crises. Therefore, in this paper, we employ the Markov switching model with jump risks to value the MI contracts and analyze the influences of housing price cycles, jump risks, risks of market interest rate, and the prepayment risks on MI premiums. The results of sensitivity analysis show that more volatile housing price index returns, as well as longer periods of higher volatility in housing prices, raise MI premiums. Moreover, the MI premium is positively related to the absolute value of the average jump amplitude and the shock frequency of abnormal events. There is the tradeoff between the market interest rate and the prepayment risk. The influences of market interest rate are different on MI premium with/without prepayment risks. | en_US |
| dc.format.extent | 109 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | EUROPEAN JOURNAL OF FINANCE, 24(11), 909-943 | - |
| dc.subject (關鍵詞) | MI contracts; Markov switching model; housing price cycles; jump risks; prepayment risks | en_US |
| dc.title (題名) | Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market | zh_TW |
| dc.type (資料類型) | article | - |
| dc.identifier.doi (DOI) | 10.1080/1351847X.2017.1359199 | - |
| dc.doi.uri (DOI) | https://doi.org/10.1080/1351847X.2017.1359199 | - |