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景氣循環下不動產抵押貸款保險之評價：房價指數之實證 = The Valu...

國立高雄大學金融管理學系碩士班

景氣循環下不動產抵押貸款保險之評價：房價指數之實證 = The Valuation of Mortgage Insurance Contracts under Business Cycles: Evidence from Housing Price Index

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	The Valuation of Mortgage Insurance Contracts under Business Cycles: Evidence from Housing Price Index
作者:	莊明哲,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	民99[2010]
面頁冊數:	74面圖，表 : 30公分;
標題:	房價指數
標題:	Housing price index
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/17449718874366963256
摘要註:	不動產抵押貸款保險係指貸款銀行將所承擔之購屋借款者違約風險暴露轉嫁給保險公司之契約，過去許多文獻指出房價指數具有景氣循環、波動聚集、報酬不對稱性與高狹峰之現象，傳統Black-Scholes模型無法捕捉上述房價指數之特徵。為了更精確地描述房價指數之動態過程，本篇論文引入馬可夫狀態轉換模型來捕捉房價指數上述之現象。利用美國、美國各區域單戶住宅與英國中古屋單季房價指數為樣本，利用EM演算法估計馬可夫狀態轉換模型之參數並檢驗模型之適合度。實證結果發現美國、美國各區域單戶住宅與英國中古屋房價指數報酬率皆服從馬可夫狀態轉換模型，隱含房價指數具有景氣循環之現象。此外，實證結果亦指出馬可夫狀態轉換模型可捕捉房價指數波動聚集、報酬不對稱性與高狹峰之特性。因此延續上述假設，給定房價指數服從馬可夫狀態轉換模型計算不動產抵押貸款保險之真實保費。敏感度分析結果指出房價指數波動度與景氣循環皆為影響保費之重要因素，隱含在房市景氣循環與異質波動之國家或地區發行不動產抵押貸款保險時，保險公司必須更謹慎保守地訂定保費以滿足保障貸款銀行所需之資金需求。 The mortgage insurance contract is that the mortgage bank transfers the default risk exposure to the insurance company. In the previous literatures, it has been proved that housing price index is provided with business cycles, volatility clustering, asymmetric returns, and leptokurtic. Thus, above characteristics of housing price index cannot be described by traditional Black-Scholes model. For capturing the dynamic process of housing price index exactly, this study uses the Markov regime-switching model to catch above phenomenon of housing price index. Using the quarterly U.S., U.S. each regions single-family, and U.K. older housing price indexes as sample, we estimate the parameters of the Markov regime-switching model via EM algorithm and then exam the housing price indexes follow whether the Markov regime-switching model or not. The empirical results indicate that all of the housing price indexes follow the Markov regime-switching model, implying that these indexes have the phenomenon of business cycle. Moreover, the empirical results also illustrate that the characteristics of the housing price index such as volatility clustering, asymmetric returns, and leptokurtic can be described by the Markov regime-switching model. Thus, given the housing price index following the Markov regime-switching model, we calculate the real premium of the mortgage insurance contract. According to the sensitivity analysis, the volatility and business cycles are the important factor influencing the premium. That is, the insurance companies issue the mortgage insurance contracts in the countries and regions following the business cycles and the heterogeneous volatility. They have to satisfy the capital demand for protecting the loan banks via setting the premium carefully and conservatively.

景氣循環下不動產抵押貸款保險之評價：房價指數之實證 = The Valuation of Mortgage Insurance Contracts under Business Cycles: Evidence from Housing Price Index
莊, 明哲

景氣循環下不動產抵押貸款保險之評價：房價指數之實證 = The Valuation of Mortgage Insurance Contracts under Business Cycles: Evidence from Housing Price Index / 莊明哲撰 - [高雄市] : 撰者, 民99[2010]. - 74面 ; 圖，表 ; 30公分.
參考書目：面.
房價指數Housing price index

景氣循環下不動產抵押貸款保險之評價：房價指數之實證 = The Valuation of Mortgage Insurance Contracts under Business Cycles: Evidence from Housing Price Index
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