Denna uppsats undersöker hur effektivt det vore att hedga svenska bostadspriser under tidsperioden 2005–2017 med hjälp av ett bostadsprisindex. Uppsatsen undersöker ickeperiodiserade och periodiserade hedgar genom tre olika hedgingstrategier i form av statisk, dynamisk och optimal hedge. Hedge ratios skattas via tre olika hedgingmetoder bestående av OLS, ECM och en naiv hedge. Genom att både använda ett nationellt och regionalt hedginginstrument analyseras skillnaden i hedgingeffektivitet i respektive region som hedgas. Hedgingeffektiviteterna bedöms i termer av reducerad varians vilket har fastställts genom justerad förklaringsgrad samt en alternativ beräkningsmetod för att presentera rättvisande resultat. Med avstamp i resultatet av hedgingeffektivitet och med hjälp av tidigare litteratur genomförs även en analys av förutsättningar för en bostadsprisderivatmarknad i Sverige. Genom studiens uppbyggda analysmodell påvisar undersökningen att ett nationellt hedginginstrument överlag är mer effektivt än ett regionalt hedginginstrument för att hedga bostadsprisrisken i Sverige för den undersökta tidsperioden. Våra resultat pekar på att svenska bostäder inhyser en stor grad av idiosynkratisk risk där den ohedgbara risken är beroende utav vilket hedginginstrument som används. Sammanfattningsvis finner vi det svårt att hedga all form av bostadsprisrisk på den svenska bostadsmarknaden. I dagsläget finns det ingen möjlighet för svenska hushåll att riskjustera sin exponering mot bostadsprisrisken. Ur ett transaktionskostnadsperspektiv anser vi att finansiell bildning kan vara en av de stora anledningarna till att en marknad för att riskjustera bostadsprisrisken inte finns. Dels saknas det kunskap för att applicera en hedge men bostadsägarna kan sakna vetskap om sitt egna behov av att skydda sig mot bostadsprisrisken.

隨著科技、醫療技術的進步，全世界的死亡率逐年下降，導致人口高齡化、扶老比逐年增加等問題，在這些問題下，退休老人是否有足夠的退休金來維持生活品質是每個人都很關心的議題。本論文探討反向房屋抵押貸款在台灣的應用來維持退休老人生活品質，在承做反向房屋抵押貸款得過程中，影響最大的三個因素分別為死亡率模型、房屋價值模型與利率模型。本論文中的死亡率模型採用Lee 與Carter 的死亡率模型；利率模型採用CIR-SR (Cox、Ingersoll 與Ross)模型；房價模型則是採用ARIMA 模型與布朗運動模型。最後利用台灣死亡率、利率與房價的資料進行模擬，針對各個不同的情境做分析，使用無套利的定價模型計算 反向房屋貸款在台灣的最適可貸金額。 / Progressions of technology and medical treatment has caused the dropping of death rates which raised the aging population problem. Under this circumstance, maintaining good quality of life after retirement is an issue that many of us concerned. This paper discusses how the use of reverse mortgage may help us to accomplish a quality retirement life. In addition to that, we apply the Lee-Carter model, CIR-SR model, and ARIMA model to forecast mortality, interest rate, and house prices respectively. Finally, we use the statistic from Taiwan to simulate several scenarios, and then use the no arbitrage pricing model to find the best payments of reverse mortgage.

Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model equilibrium methodology, whereby stock returns are forecasted using macroeconomic variables, in particular the dividend yield and price-earnings ratio. The forecasting exercise revealed the presence of non-linear predictability for all data periods considered, and confirmed an improvement of predictability for long-horizon data. Finally, the present value model approach is applied to the housing market, whereby the house price returns are forecasted using a price-earnings ratio as a measure of fundamental levels of prices. Findings revealed that the UK housing market appears to be characterised with asymmetric non-linear dynamics, and a clear preference for the asymmetric ESTAR model in terms of forecasting accuracy.

This master´s thesis „Comparison of selected methods of valuation of the property type of family house in Telč and its surroundings” deals with the analysis of possible valuation methods and their comparing. The main objective of this thesis is to describe the methods of valuation and on the basis of selecting valuation methods prepare their confrontation. In the diploma thesis is valued ten of family houses in Telč and its surrounding, which are compared by the following methods: coast approach, comparative public notice, comparative non-promulgation method and price at present time. Part of objective this thesis is describe to the main influences acting on the standard price in the area of Telč and its surroundings.

The thesis "Comparison of Family House Prices in Selected Locations in the District of Karviná in 2016 and 2017" deals with the awarding of the selected family house at the usual price established in 2016 and 2017 and the determination of the price difference in these years. The family house is fictitious at the beginning in one of the selected locations of the district of Karviná and is then placed in 3 other selected localities. The usual price is determined by comparison. Comparison is made with similar family homes offered for sale in real estate ads. The price determined for 2016 for the year 2017 is determined according to the valuation regulations. In the theoretical part of the thesis are defined and explained the basic important concepts related to valuation and methods of valuation are approximated. In the practical part of the thesis are elaborated various methods of valuation for the years 2016 and 2017 for chosen RD located in selected locations of Karviná district, namely the town of Orlová, the statutory city of Havířov, the town of Bohumín and the village of Petrovice near Karviná. The output of the practical part of the thesis is a comparison of the prices of the usual and discovered ones and they are evaluated by the factors that make the individual prices change.

The thesis tries to explain different nature of the dynamics during the upward and downward part of the last house price cycle in Spain, characterized by important rigidities. Covered bonds are introduced as an instrument which may accelerate a house price boom, while it may also serve as a source of correction to overvalued house prices in downturn. In a serious economic stress, lack of investment opportunities motivates investors to buy the covered bonds due to the strong guarantees provided, which may in turn help to revitalize the credit and housing markets. To address such regime shift, house price dynamics is modelled within a framework of mutually related house price, credit and business cycles using smooth transition vector autoregressive model. Linear behaviour of such system is rejected, indicating the need to model house prices in a nonlinear framework. Also, importance of modelling house prices in the context of credit and business cycles is confirmed. Possible causality from issuance of covered bonds to house price dynamics was identified in this nonlinear structure. Finally, threat to financial stability resulting from rising asset encumbrance both in the upward and downward part of the house price cycle was identified, stressing the need to model impact of the covered bonds on house prices in...

An increasing trend of using macroprudential instrument, caps on loan-to-value (LTV) ratio, requires a full understanding of how the instrument works in practice. As the empirical research is still scant, this thesis attempts to contribute with a new evidence on LTV effectiveness in context of six developed economies, namely Netherlands, Sweden, Ireland, Hungary, Latvia and Lithuania. To achieve this objective we analyse the impact of caps on LTV on credit growth, mortgage credit-to- GDP ratio and price growth. LTV limits are not a harmonised measure and its national-level implementation includes numerous specificities that can hinder cross-country comparisons. As a result, this thesis proposes a construction of LTV index reflecting specific aspects of the measure. Using the LTV Index we confirmed a slowdown of credit, mortgage and price growth. JEL Classification E44, E51, E52, E58, G21 Key words caps on loan-to-value ratio, maximum LTV ratio, macroprudential policy, credit-related instruments, LTV Index, house price growth, credit growth, financial stability.

<p>The distance between home and work has increased in recent decades. By the development of infrastructure and public transport, jobs farther from home have become more accessible and this development has in turn increased commuting. Commuting travellers often pass over administrative boundaries which often serve as borders for public transport pricing. Also the market control prices. Research shows that travel times and costs significantly affect commuting choice. Many people have an upper limit of 60 minutes commuting distance between home and work. How commuting costs affect the individual's choice of commuting will vary depending on the individual's income and housing costs. The aim of our study was to see how public transport costs and travel times may vary geographically. GIS, Geographic Information System was used to make a network analysis which showed time distances and travel costs on maps. We also examined whether there was a link between towns accessibility by public transport and housing market which we did with help of correlation and regression analysis. In order to answer our questions we started from a study area consisting of Uppsala County with its surrounding commuting area. The maps showed how accessibility to larger towns varies among the smaller towns. The access is often best between bigger towns while there is less accessibility between smaller towns. The distance to bus stops or railway station also has a significant effect on how long the total travel time will be. Urban areas with access to rail services had the best opportunities to reach larger cities and that give also better access to labour market. From our study of the Uppsala County with a monocentric structure, we could indicate a link between accessibility to the bigger cities and housing prices in the surrounding towns. The higher commuting costs and longer travel time to the central place the lower the housing prices. A similar study of Stockholm which has a polycentric structure showed that the relationship between accessibility and house prices not are applicable to all regions. Here we can conclude that housing markets depends on many other factors than access to rapid public transport. House prices can depend on things like closeness to nature and water.</p> / <p>Avståndet mellan bostad och arbete har ökat under de senaste decennierna. Utvecklingen av infrastruktur och kollektivtrafik har lett till att arbetsplatser längre från hemmet har blivit mer tillgängliga och denna utveckling har i sin tur bidragit till en ökad arbetspendling i samhället. Pendlingsresenärer passerar ofta över administrativa gränser och dessa gränser styr ofta över kollektivtrafikens prissättning men även efterfrågan kan styra priset. Forskning visar att restider och kostnader i hög grad påverkar pendlingsvalet. Många människor föredrar ett pendlingsavstånd, mellan hem och arbete på högst 60 minuter. Hur pendlingskostnader påverkar individens val till pendling varierar bland annat beroende på individens inkomst och boendekostnader.</p><p>Syftet med vår studie var att se hur kollektivtrafikens kostnader och restider kan variera geografiskt. GIS, Geografiska Informationssystem, användes vid utförandet av en nätverks- och kostnadsanalys vilket visade tidsmässigt avstånd och kostnad på kartor. Vi undersökte också om det fanns ett samband mellan orters tillgänglighet med kollektivtrafik och bostadsmarknaden genom att utföra korrelations- och regressionsanalyser. För att svara på våra frågeställningar utgick vi från ett undersökningsområde bestående av Uppsala län med pendlingsomland.</p><p>Kartbilderna visade tydligt hur tillgängligheten till större städer varierar mellan olika orter och att tillgängligheten ofta är bäst mellan större tätorter medan det är sämre tillgänglighet mellan mindre tätorter. Avståndet till hållplatser har också betydande påverkan på hur lång den totala restiden blir. Tätorter med tillgång till järnvägstrafik hade det bästa möjligheterna att nå större tätorter och därmed blir arbetsmarknaden större för dessa orter. Från vår studie över Uppsala län som kan anses ha monocentrisk struktur kunde vi även tyda ett samband mellan tätorters tillgänglighet till centralorten och orternas bostadspriser. Ju högre pendlingskostnad och längre restid till centralorten desto lägre var orternas bostadspriser. En likadan studie över Stockholm som har en mer polycentrisk struktur visade dock att detta samband mellan tillgänglighet och bostadspriser inte gäller för alla regioner. Här kan vi dra den slutsatsen att bostadsmarknaden styrs av många andra faktorer än tillgång till snabb kollektivtrafik och att vissa områdens bostadspriser mer styrs av exempelvis närhet till natur och vatten.</p>

The distance between home and work has increased in recent decades. By the development of infrastructure and public transport, jobs farther from home have become more accessible and this development has in turn increased commuting. Commuting travellers often pass over administrative boundaries which often serve as borders for public transport pricing. Also the market control prices. Research shows that travel times and costs significantly affect commuting choice. Many people have an upper limit of 60 minutes commuting distance between home and work. How commuting costs affect the individual's choice of commuting will vary depending on the individual's income and housing costs. The aim of our study was to see how public transport costs and travel times may vary geographically. GIS, Geographic Information System was used to make a network analysis which showed time distances and travel costs on maps. We also examined whether there was a link between towns accessibility by public transport and housing market which we did with help of correlation and regression analysis. In order to answer our questions we started from a study area consisting of Uppsala County with its surrounding commuting area. The maps showed how accessibility to larger towns varies among the smaller towns. The access is often best between bigger towns while there is less accessibility between smaller towns. The distance to bus stops or railway station also has a significant effect on how long the total travel time will be. Urban areas with access to rail services had the best opportunities to reach larger cities and that give also better access to labour market. From our study of the Uppsala County with a monocentric structure, we could indicate a link between accessibility to the bigger cities and housing prices in the surrounding towns. The higher commuting costs and longer travel time to the central place the lower the housing prices. A similar study of Stockholm which has a polycentric structure showed that the relationship between accessibility and house prices not are applicable to all regions. Here we can conclude that housing markets depends on many other factors than access to rapid public transport. House prices can depend on things like closeness to nature and water. / Avståndet mellan bostad och arbete har ökat under de senaste decennierna. Utvecklingen av infrastruktur och kollektivtrafik har lett till att arbetsplatser längre från hemmet har blivit mer tillgängliga och denna utveckling har i sin tur bidragit till en ökad arbetspendling i samhället. Pendlingsresenärer passerar ofta över administrativa gränser och dessa gränser styr ofta över kollektivtrafikens prissättning men även efterfrågan kan styra priset. Forskning visar att restider och kostnader i hög grad påverkar pendlingsvalet. Många människor föredrar ett pendlingsavstånd, mellan hem och arbete på högst 60 minuter. Hur pendlingskostnader påverkar individens val till pendling varierar bland annat beroende på individens inkomst och boendekostnader. Syftet med vår studie var att se hur kollektivtrafikens kostnader och restider kan variera geografiskt. GIS, Geografiska Informationssystem, användes vid utförandet av en nätverks- och kostnadsanalys vilket visade tidsmässigt avstånd och kostnad på kartor. Vi undersökte också om det fanns ett samband mellan orters tillgänglighet med kollektivtrafik och bostadsmarknaden genom att utföra korrelations- och regressionsanalyser. För att svara på våra frågeställningar utgick vi från ett undersökningsområde bestående av Uppsala län med pendlingsomland. Kartbilderna visade tydligt hur tillgängligheten till större städer varierar mellan olika orter och att tillgängligheten ofta är bäst mellan större tätorter medan det är sämre tillgänglighet mellan mindre tätorter. Avståndet till hållplatser har också betydande påverkan på hur lång den totala restiden blir. Tätorter med tillgång till järnvägstrafik hade det bästa möjligheterna att nå större tätorter och därmed blir arbetsmarknaden större för dessa orter. Från vår studie över Uppsala län som kan anses ha monocentrisk struktur kunde vi även tyda ett samband mellan tätorters tillgänglighet till centralorten och orternas bostadspriser. Ju högre pendlingskostnad och längre restid till centralorten desto lägre var orternas bostadspriser. En likadan studie över Stockholm som har en mer polycentrisk struktur visade dock att detta samband mellan tillgänglighet och bostadspriser inte gäller för alla regioner. Här kan vi dra den slutsatsen att bostadsmarknaden styrs av många andra faktorer än tillgång till snabb kollektivtrafik och att vissa områdens bostadspriser mer styrs av exempelvis närhet till natur och vatten.

國內近年來有許多文獻在進行特徵價格模型預測時，避免樣本中存在異常點會造成模型估計值產生偏差，會使用統計軟體進行異常點檢測，但皆是直接將檢測出的異常點刪除，未加以著墨探究這些異常點的特徵結構、成因及特色等。因此，本研究透過統計檢定方法，探討刪除異常點前後整體樣本的特徵結構變化，並以個別估價觀點加以探討住宅交易樣本異常點的成因與特色，藉此歸納出實價登錄資料未揭露的重要特徵，以及迴歸模型搜尋疑似申報不實案件之可行性。 透過敘述統計及樣本結構差異檢定結果發現，異常樣本的離散程度相對原始樣本與正常樣本較大，且經過刪除異常點的正常樣本特徵結構差異程度縮小；異常點的形成可能受到區位變數無法反映實際情況及樣本群聚程度影響，也可能因模型未納入某些重要的特徵變數，而使隱含該變數的樣本被判斷為異常點；異常樣本與正常樣本的成交總價、土地坪數、建物坪數、總樓層、所在樓層及屋齡等變數平均數、變異數及中位數有顯著差異。 藉由個案分析結果歸納，可能因異常個案的住宅屬性存在整幢大樓住商混合使用、特殊鄰居、附屬建物占比過高、高總價豪宅產品、都更效益、增建效益、裝潢效益、約定專用空間效益、樓層高度挑高、獨特視野景觀或特殊區位條件；外部環境存在鄰近嫌惡設施或迎毗設施；交易情況存在買方身分特殊之影響，但受限於實價登錄未要求登載並揭露這些特徵，故模型未考量這些因素對價格的影響，使得模型可能將隱含這些特徵的樣本判斷為異常點，並進而影響模型預測結果。另外也發現，實價登錄資料存在登載錯誤及價格申報不實的情況，且可能被模型判斷為異常點。 / Many literatures use statistics-way to detect outliers in preventing any extreme deviation in hedonic price model prediction. Nevertheless, deleting the outliers instead of investigation into the structures, causes and features. Hence, this thesis studies the feature structures variation of the sample before and after deleting the outliers and with the valuations by appraisers’ perspective to inquire into the factors and features of the outliers in residential transactions. Thereby to summarize the significant features that are not disclosed by real price registration and feasibility in searching the possible false declaration of price by regression. Through descriptive statistics and sample structural difference parametric and nonparametric test shows the discreteness level of singular (outliers only) samples is greater than the primary (outliers including) and normal (outliers deleting) samples and the feature structure variation lessened after deleting the outliers in normal samples. The formation of outliers may be influenced by location variable not able to reflect actual circumstances and level of clustering in samples. Maybe some significant variables are not subsumed into the model, which leads to the judgement of samples with this variable to be outliers. The mean, variance and median in total traded price, land size, building size, total floors, exact floor and house age of singular samples are notably different with normal ones. With the analysis of cases, the possible reasons may be residential and commercial mixed-use in building, peculiar neighbors, high proportion of accessory building, luxury houses, urban renewal benefits, building addition benefits, interior decoration benefits, agreed space benefits, high-ceiling benefits, unique view or location, YIMBY and NIMBY property in environment and special relationship between the buyer and seller. Nevertheless, due to the nondisclosure of these features in real price registration that the model does not take these into consideration. That leads to the judgement of samples with these features as outliers and affects the model prediction. Also the registration error and false declaration in price may also be judged as outliers.