Real Estate Papers
Document Type
Journal Article
Date of this Version
1-2009
Publication Source
The Journal of Real Estate Finance and Economics
Volume
38
Issue
1
Start Page
89
Last Page
103
DOI
10.1007/s11146-008-9144-0
Abstract
In this paper we offer direct evidence that financial intermediation does impact underlying asset markets. We develop a specific observable symptom of a banking system that underprices the put option imbedded in non-recourse asset-backed lending. Using a dataset for 19 countries and over 500 real estate investment trusts, we find that, following a negative demand shock, the “underpricing” economies experience far deeper asset market crashes than economies in which the put option is correctly priced.
Copyright/Permission Statement
The final publication is available at Springer via http://dx.doi.org/10.1007%2Fs11146-008-9144-0
Keywords
real estate bubble, mortgage lending put options, Asian financial crisis
Recommended Citation
Pavlov, A., & Wachter, S. M. (2009). Mortgage Put Options and Real Estate Markets. The Journal of Real Estate Finance and Economics, 38 (1), 89-103. http://dx.doi.org/10.1007/s11146-008-9144-0
Date Posted: 27 November 2017
This document has been peer reviewed.