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.

中文翻译：

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房价回报的地理依赖性和多元化：杠杆的作用

我们在具有高和低依赖机制的机制转换多元 copula 模型中分析了一组区域月度房价指数回报中平均依赖的时间变化。使用等相关高斯 copula，我们表明房价回报的依赖性随着时间的推移随着信贷市场条件的变化而变化，这减少了房地产和抵押贷款组合的地理多样化带来的收益。更具体地说，我们表明，以贷款价值比衡量的杠杆率下降，以及抵押贷款利率在较小程度上的上升，与转向和留在高度依赖制度的可能性更高有关。