PDF《Real Estate Derivatives》

14 Main Street Madison NJ

07940 973.

889.1973 www.MacroMarkets.com Robert J. Shiller Chief Economist, MacroMarkets LLC Professor of Economics, Cowles Foundation Yale University Professor of Finance, School of Management, Yale University Real Estate Derivatives Real Estate Derivatives May 18,

2007 Derivatives

2007 NYU Stern School Until very recently… Direct investment/hedging limited to buying/selling houses ? Transaction friction &

constraints ? Limited Liquidity ? Costly and Slow ? Impossible to short ? Difficult to diversify U.S. Housing: U.S. Housing: An Incomplete Market An Incomplete Market Sizing Sizing- -Up Housing as a Financial Market Up Housing as a Financial Market ? ? Scale Scale ? ? Conditions Conditions ? ? Reliable Price Measurement Reliable Price Measurement ? ? Emerging Products Emerging Products ? ? Stakeholders Stakeholders $22.8 Trillion $22.8 Trillion Market Scale Market Scale The United States at night The United States at night Unique Performance: Unique Performance: US Housing vs. Other Assets US Housing vs. Other Assets (Quarterly, 2006) 0.58 5.57% 410.30% -0.21 S&

P

500 0.21 6.48% 75.75% 0.14 NARIET Price Index 0.51 7.65% 514.16% 0.24 GSCI Total Return Index 1.28 2.55% 289.75% -0.30 JP Morgan Gov'

t Bond Index 1.05 1.45% 202.60% 1.00 S&

P/CSI Sharpe Volatility Return Correlation

20 YEAR 0.32 5.69% 81.43% -0.11 S&

P

500 0.39 6.52% 94.42% 0.17 NARIET Price Index 0.35 8.69% 59.86% 0.55 GSCI Total Return Index 1.03 2.48% 84.94% -0.18 JP Morgan Gov'

t Bond Index 2.20 1.29% 129.42% 1.00 S&

P/CSI Sharpe Volatility Return Correlation

10 YEAR 2.47 3.61% 11.09% N/A S&

P

500 2.29 4.80% 22.73% N/A NARIET Price Index -0.44 7.79% -15.10% N/A GSCI Total Return Index 0.43 1.69% 6.01% N/A JP Morgan Gov'

t Bond Index 0.41 0.59% -0.54% N/A S&

P/CSI Sharpe Volatility Return Correlation

1 YEAR

0 20

40 60

80 100

120 140

160 180

200 1880

1900 1920

1940 1960

1980 2000

2020 In d e x o r In t e re st Ra t e

0 100

200 300

400 500

600 700

800 900

1000 Po p u la t io n in M illio n s H om e Pric es B uilding Costs Population Interest Rates U.S. Housing: U.S. Housing: Historical Perspective Historical Perspective (1890 (1890 - - 2005) 2005) STRICTLY CONFIDENTIAL Copyright

2007 MacroMarkets LLC All Rights Reserved

7 S&

P/Case-Shiller Composite (10-City) Home Price Index Jan 1987-Feb

2007 0

50 100

150 200

250 February

1982 November

1984 August

1987 May

1990 January

1993 October

1995 July

1998 April

2001 January

2004 October

2006 July

2009 STRICTLY CONFIDENTIAL Copyright

2007 MacroMarkets LLC All Rights Reserved

8 S&

P/Case-Shiller 12-Mo. Growth Rate of Home Prices Jan

1988 to Feb

2007 -10.00% -5.00% 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% November

1984 August

1987 May

1990 January

1993 October

1995 July

1998 April

2001 January

2004 October

2006 July

2009 Peak July 2004: 20.5% STRICTLY CONFIDENTIAL Copyright

2007 MacroMarkets LLC All Rights Reserved

9 NAHB Traffic of Prospective Buyers and S&

P CSI Composite Home Price Increase

0 10

20 30

40 50

60 70

1980 1985

1990 1995

2000 2005

2010 NAHB Traffic Index -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% Annualized Monthly Increase of Home Prices (%) Home Price Increase Traffic of Prospective Home Buyers STRICTLY CONFIDENTIAL Copyright

2007 MacroMarkets LLC All Rights Reserved

10 Boston: S&

P/Case-Shiller Home Price Index And BLS Rent of Primary Residence Index