Investigating the Links between UK House Prices and Share Prices with Copulas
用Copula方法分析英国房价与股价的非线性关系，发现全国层面存在左尾相依性（即更可能同时暴跌而非暴涨），但区域差异显著，伦敦与其他地区的房价关联也呈现广泛区域变化。
Abstract We investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.