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An investigation on mixed housing-cycle structures and asymmetric tail dependences

机译：混合住宅周期结构和不对称尾依赖的研究

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This paper designs a Markov-switching mixture Copula-based model with a mixed Markovtransition mechanism to investigate the mixed housing-cycle structures and asymmetric tail dependences for the Pacific and Mountain divisions of American regional housing markets. The empirical results demonstrate four interesting findings. First, the Markov-switching process can capture the housing cycle of each housing market. Second, the evidence of the mixed Markov-switching specification indicates that the joint housing-cycle behaviors are related not only to the total dependence mechanism, but also to the independent mechanism. Specifically, each housing market has its own characteristics, and these characteristics play relatively more important roles in determining the joint housing-cycle pattern than do common factors related to the total dependence framework. Third, the two housing markets have asymmetric tail dependences. Tail dependence exists when two markets experience the same housing-cycle modes, but does not occur when two markets experience distinct housing-cycle modes. In addition, the intensity of tail dependence is stronger when two markets remain in recession mode, as opposed to when they remain in recovery mode. This finding suggests that downward price rigidity does not exist in regional housing markets. Fourth, the spillover effects between housing returns are asymmetric.
机译：本文设计了一种基于Markov-Switch混合物的基于Markov-Switch混合物的模型，具有混合的Markovtransition机制，研究了美国区域住房市场的太平洋和山区的混合住宅周期结构和不对称尾部依赖。经验结果表明了四种有趣的结果。首先，马尔可夫切换过程可以捕获每个住房市场的外壳周期。其次，混合马尔可夫切换说明书的证据表明，联合住房循环行为不仅与总依赖机制有关，而且还与独立机制相关。具体而言，每个住房市场都有自己的特点，这些特征在确定联合住房周期模式方面发挥相对更重要的作用，而不是与总依赖框架相关的常见因素。第三，两个住房市场具有不对称的尾部依赖性。当两个市场经历相同的住宅周期模式时，存在尾部依赖性，但是当两个市场经历不同的住房周期模式时，不会发生。此外，当两个市场仍处于衰减模式时，尾依赖性的强度更强，而不是当它们留在恢复模式时。该发现表明，区域住房市场中的下行价格刚度不存在。第四，住房返回之间的溢出效应是不对称的。

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