Forward Curve dynamics in the UK Real Estate Market
Drouhin, Pierre-Arnaud; Simon, Arnaud (2011), Forward Curve dynamics in the UK Real Estate Market, AsRES/AREUEA International Conference, 2011-07, Jeju, Corée du Sud
TypeCommunication / Conférence
Conference titleAsRES/AREUEA International Conference
Conference countryCorée du Sud
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Abstract (EN)This paper is the first attempt to emprically analyze the statistical characteristic of property swap prices and to investigate on their risk factors. Four yaers of price data on the UK Investment Property Data bank (IPD) Total Return Swap All Property are analyzed. The choice of the UK marketis justified by the fact that this market is the most mature, although recent, all over the world. The forwrd curves are derived using a bootstrap method and the statistical characteristics are analyzed ; a first difference-model is used to determine its main components. Dynamics of the forward curves are important for practitioners pricing and hedging derivatives contracts. The factors structure, in real estate forward curves, is more complex than found in many other studies relative to commodities, securities or bond. Possible reasons for phenomenon are discussed.
Subjects / KeywordsReal estate swap; forward curve; appraisal based index; first difference model
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