Geographic Dependence and Diversification in House Price Returns: The Role of Leverage
分析了区域房价指数回报依赖性的时变特征，发现信贷条件变化（尤其是杠杆率降低）会提高高依赖状态的概率，从而削弱房地产和抵押贷款组合的地理分散化收益。
Abstract We analyze the time variation in the average dependence within a set of regional monthly house price index returns in a regime-switching multivariate copula model with a high and a low dependence regime. Using equidependent Gaussian copulas, we show that the dependence of house price returns varies across time with changes in credit market conditions, which reduces the gains from the geographic diversification of real estate and mortgage portfolios. More specifically, we show that a decrease in leverage, measured by the loan-to-value ratio, and to a lesser extent an increase in mortgage rates, are associated with a higher probability of moving to and staying in the high dependence regime.