부동산 파생상품을 이용한 위험관리 : 부동산스왑을 이용한 위험관리의 실증분석을 중심으로

다국어 초록 (Multilingual Abstract)

The main focus on this study is to analyze the effect of risk management by using real estate derivatives. In this study, first of all, the terminology of real estate derivatives is unfamiliar to us. Thereupon I defined the term of real estate derivatives. I defined that real estate derivatives derives its value real estate, real estate index, or real estate claim. For example, because the value of mortgage-backed securities is based on pools of mortgages, it is referred to as "derivatives."
This paper is divided into two parts. In the first part, the method of Market Transactions using real estate index is analyzed. The second stage is to analyze the effects of risk management by using real estate swaps.
In the 3th chapter, the prerequisite to exchange real estate derivatives is to require real estate index. So I classified real estate indices into three types ; the composite real estate stock exchange index, appraisal-based index, and transaction price index. Given an appropriate process for a real estate index, the next step is to incorporate it into a pricing model. I used a bivariate binomial model to price real estate derivatives. Using this method, the value of the derivative security at any node during time step k can be calculated as the present value of the future possible values of the security at time step k+1 plus any adjustments that occur as a result of the level of the real estate index or the interest rate at the node under evaluation.
After pricing real estate derivative securities, we can start market transactions by using real estate index. In this paper, I searched index-based futures and options as the method of market transactions. However the market transactions by using real estate index has to wait, because not only don't we have a reliable real estate index, but also we, investors are unaccustomed to exchange real estate derivatives.
As you know, real estate swaps are a recent financial innovations based upon the principle of comparative advantage. In the 4th chapter, I outline the basic logic for such swaps, and discuss their relative advantages compared to other instruments for real estate investment and risk management. A real estate swaps is an agreement between two parties to exchange a series of payments without exchanging the underlying real estate. The standard rationale for real estate swaps hinges on the economic principle of comparative advantages. Since the patterns of real estate returns and interest rates are quite different, one party may have a comparative advantage over another in generating a particular stream of returns. Based on the logic for real estate swaps, I looked into the American case of real estate swaps. In case of America, real estate swaps was effective risk management tools in all cases(the requirement that q be positive is satisfied)for the period between 1983 and 1992. Among the various property types, office property in the Midwest stands out as a property that requires the largest swap position, or equivalently could have benefited the most from the swaps. Office property in the East and R&D property in the West also require relatively higher swap positions.
But in the case of Korea, real estate swaps has never been known to the researchers. And furthermore we have not gotten into a basic argument if real estate swaps has the effects of risk management or not. Therefore, I analysed if real estate swaps is an useful tools to manage risk in the case of Korea. Before making the empirical analysis, I looked into the reason to swap between real estate index returns and 3 month LIBOR rates. The result of correlation analysis came into light relatively a low correlation between both rates. A low correlation means that it is necessary for both return rates to exchange. Real estate swap transactions can be justified on several grounds, including the simple economic principle of comparative advantage. Real estate owners can use swaps to hedge their real estate risk, while investors can reap the benefits of diversifications from real estate investment at reduced cost. This means to have substitution relation between this and that. Because needing more swap position as correlation is low, to swap both return rates makes sense. Generally speaking, real estate swaps is known as having the effect of comparative advantage.
However, in this paper, I assumed that real estate swaps has not only the effect of comparative advantage, also the effects of risk management and risk compensation. And then, to prove the effect of risk compensation, I did paired T-test. The result of paired t-test reveals real estate swaps has the effect of risk compensation. To prove the effect of risk management, I made a regression analysis. The result is that real estate swaps has the effects of risk management.
By the way, if the regression analysis has a spurious regression, it leads to a false result. When a time series has a unit root, the series is nonstationary and the ordinary least squares estimators is not normally distributed. So I did test whether all time series in this paper have a unit root or not. The result of unit root test appeared that all time series would have unit root. If a time series has a unit root, it should perform cointegration test to determine whether there is evidence of cointegration between variables. By the results of Johansen cointegration test, I can conclude that all time series have a long-run relation between real estate returns and interest rate. It means that all time series have stationary time series. Finally using vector error correction model(VECM), I looked into the relation between real estate index returns and interest rates. After having constructed cointegration equation, I interpreted the outcomes. The results from regression analysis, unit root test, cointegration test, and VECM backed up that real estate swaps would have the effects of risk management.

목차 (Table of Contents)

• 목차
• 제1장 서론 = 1
• 제1절 연구의 필요성과 목적 = 1
• 제2절 연구의 방법과 주요내용 = 4
• 제2장 부동산 파생 상품 및 위험에 대한 이해 = 6
• 제1절 부동산 파생상품의 의의 = 6
• 제2절 부동산 파생상품에 있어서 위험의 정의 및 종류 = 10
• 1. 위험의 정의 = 10
• 2. 위험의 종류 = 13
• 제3절 부동산 파생상품을 이용한 위험관리의 필요성 = 14
• 제3장 부동산지수파생상품을 이용한 부동산 위험관리 = 18
• 제1절 부동산 지수화 과정 및 모델 = 18
• 1. 파생상품거래에 이용 가능한 부동산지수 = 18
• 2. 부동산지수화 과정 = 21
• 3. 부동산지수 가격산정 모델 = 24
• 제2절 부동산 지수를 이용한 선물거래 = 28
• 1. 부동산지수를 이용한 선물거래의 의의 = 28
• 2. 부동산지수선물시장의 실현가능성에 대한 검토 = 29
• 3. 부동산 지수선물을 이용한 위험의 헷징 = 32
• 제3절 부동산 지수를 이용한 옵션거래 = 35
• 1. 부동산지수를 이용한 옵션 거래의 의의 = 35
• 2. 부동산지수를 이용한 옵션의 가격평가 = 35
• 3. 부동산지수의 의미 및 부동산지수를 이용한 현실적 한계 = 46
• 제4장 부동산 스왑에 대한 이해 = 48
• 제1절 스왑거래의 의의 및 구조 = 48
• 제2절 금리스왑 및 통화스왑 = 52
• 1. 금리스왑 = 52
• 2. 통화스왑 = 53
• 제3절 부동산 스왑 = 54
• 1. 부동산 스왑에 대한 논리적 근거 = 54
• 2. 부동산스왑의 사례(미국의 경우) = 59
• 3. 미국의 지역별 및 부동산 유형별의 부동산 스왑량 결정 = 66
• 제5장 부동산스왑의 위험관리 효과에 관한 실증분석 = 69
• 제1절 실증분석의 이용자료 및 부동산지수수익률과 리보금리수익률의 관계 = 69
• 1. 실증분석의 이용자료 = 69
• 2. 부동산지수수익률과 리보금리수익률의 관계 = 70
• 제2절 실증분석의 연구 = 73
• 1. 위험보상효과 = 73
• 2. 위험관리효과의 검정 = 77
• 제3절 실증분석의 요약 = 111
• 제6장 결론 = 113
• 제1절 연구의 요약 = 113
• 제2절 연구의 한계 = 120
• 제3절 연구의 향후과제 = 121
• 참고문헌 = 122
• I. 단행본 = 122
• 1. 국문 단행본 = 122
• 2. 영문 단행본 = 123
• II. 논문 = 124
• 1. 국문논문 = 124
• 2. 영문논문 = 125
• ABSTRACT = 132