What do financial asset prices say about the housing market?
By: J. Benson Durham
Series: Finance and economics discussion series -- 2006-32; Finance and economics discussion series (Online) -- 2006-32.
Publisher: Federal Reserve Board
Published: 2006
Place of publication: Washington, D.C
Language: eng
Format: [electronic resource] /
Description: "This paper examines the first three moments of investors' expectations for the housing sector.  That is, first, what do financial markets imply about expected future home prices? Second, how much confidence do investors have in their forecast? And, third, do market participants see more downside than upside risk? Housing futures and options, which trade on the Chicago Mercantile Exchange (CME), are not yet deep and liquid, and derivatives on homebuilders' shares reflect considerable idiosyncratic information and are therefore an imperfect proxy.  Nonetheless, prices suggest that investors currently expect some mild depreciation in home values within the next year.  Also, uncertainty has increased, but, generally inconsistent with the perception of a "bubble," the implied risks do not seem particularly tilted to the downside.  Probability density functions derived from options on homebuilders' stocks are not appreciably skewed to the left in general, vis--̉vis the broader market, or with respect to recent history"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 12/7/2006.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.