英文摘要 |
This paper takes advantage of the model in Yilmaz & Selcuk-Kestel(2018), which accounts for housing prices and interest rates. The model is different from others that the relationship between housing prices and interest rates depends on the value of the current interest rate. In addition, this paper introduces how to derive a risk-neutral probability measure by means of the principle of maximum entropy. The technique is more mathematically tractable, which is different from other methods used to derive risk-neutral probability measures, such as the Girsanov’s transformation. Finally, empirical data is adopted to study the effects of different factors on the value of a RM. The empirical results show that the relationship between housing prices and interest rates indeed varies according to the value of the current interest rate, instead of maintaining positive or negative correlation. This paper also provides the effects of different factors on the annuity of RM, which contributes to policy decisions and determining annuities of RMs. |