TY  - JOUR
AU  - Case,Karl E.
AU  - Shiller,Robert J.
AU  - Weiss,Allan N.
TI  - Mortgage Default Risk and Real Estate Prices: The Use of Index-Based    Futures and Options in Real Estate
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5078
PY  - 1995
Y2  - April 1995
UR  - http://www.nber.org/papers/w5078
L1  - http://www.nber.org/papers/w5078.pdf
N1  - Author contact info:
Karl E. Case
Wellesley College
106 Central Street
Wellesley, MA 02481
E-Mail: kcase@wellesley.edu

Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu
AB  - Evidence is shown, using US foreclosure data by state 1975-93, that periods of high default rates on home mortgages strongly tend to follow real estate price declines or interruptions in real estate price increase.  The relation between price decline and foreclosure rates is modelled using a distributed lag.  Using this model, holders of residential mortgage portfolios could hedge some of the risk of default by taking positions in futures or options markets for residential real estate prices, were such markets to be established.
ER  -