How Low Can House Prices Go? Estimating a Conservative Lower Bound View Full Text


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Article Info

DATE

2017-01

AUTHORS

Alexander N. Bogin, Stephen D. Bruestle, William M. Doerner

ABSTRACT

In risk management, the credit risk and required capital associated with mortgage assets is often estimated through stress testing where the house price path is an important determinant of the severity of the stress test. Specifically, the extent of credit-related losses is a function of how far house prices are above long-term trend and the extent to which they can fall below trend. Focusing on the latter, we develop a theoretically-based statistical technique to identify a conservative lower bound (CLB) for house prices. Leveraging a model based upon investor incentives, the CLB explains the depth of housing market downturns at both the national and state level over a variety of market environments. This approach performs well in several historical back tests and has strong out-of-sample predictive ability. When back-tested, the estimation approach does not understate house price declines in any state over the 1987 to 2001 housing cycle and only understates declines in three states during the most recent financial crisis. This latter result is particularly noteworthy given that the post-2001 estimates are performed out-of-sample. The CLB is attractive because it (1) provides a leading indicator of the severity of future downturns and (2) allows estimates of trough to recover or decrease in magnitude as markets return to baseline conditions. This estimation technique could prove helpful in measuring the credit risk associated with portfolios of mortgage assets as part of evaluating static or designing dynamic stress tests. More... »

PAGES

97-116

References to SciGraph publications

  • 1997-10. Consumption and Investment Motives and the Portfolio Choices of Homeowners in THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS
  • 2010-01. Structural Breaks and the Convergence of Regional House Prices in THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS
  • 2002-01. Hedging Housing Risk* in THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS
  • 2012-05. Household Housing Demand: Empirical Analysis and Theoretical Reconciliation in THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS
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    URI

    http://scigraph.springernature.com/pub.10.1007/s11146-015-9538-8

    DOI

    http://dx.doi.org/10.1007/s11146-015-9538-8

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    https://app.dimensions.ai/details/publication/pub.1050641179


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