We investigate the nonlinear effects of real estate uncertainty shocks and the role of financial conditions in the U.S. over the business cycle. We employ a logistic smooth transition vector autoregressive (LSTVAR) model and identify uncertainty shocks using the short-run restriction. The...

In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these three risk components simultaneously. Our numerical results...