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Asymmetric dependence in house prices: evidence from USA and international data


This paper models co-movements in house prices using a copula-based approach that allows for asymmetric contemporaneous and dynamic dependence between prices in different locations. The models consider both US co-movements across different census divisions and international co-movements across different OECD countries. Results show evidence of strong contemporaneous tail dependence among US census divisions, indicating that extreme price movements in different areas tend to happen in tandem. On the international level, by contrast, results find almost no evidence of contemporaneous or dynamic linkages in house price movements between different countries. These results hold important implications for informing upon risk embedded in mortgage backed securities.

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  1. 1.

    Global CDO volume numbers come from a Securities Industry and Financial Markets Association press release, dated 11/21/2011.

  2. 2.

    As a sample of studies that investigate different concepts of “ contagion,” see Topol (1991), Lux (1995), Kiyotaki and Moore (1997), Forbes and Rigobon (2002), Pericoli and Sbracia (2003), and Allen (2005).

  3. 3.

    See, e.g., King and Wadhwani (1990), Longi and Solnik (1995), Ramchand and Susmel (1998), Rodriguez (2007), and Pontines (2010).

  4. 4.

    A debt of gratitude is owed to Gavin Asdorian for generously providing the data.

  5. 5.

    See “Housing Boom North of the Border” in the 3/29/2011 issue of the Wall Street Journal.

  6. 6.;

  7. 7.

    See Zhu (2003) and Fu (2007) for institutional details about US house prices.

  8. 8.

    When using generalized error distributions for the innovations, four of the series (S. Atlantic, France, Netherlands, and Belgium) failed to converge. Thus, those series instead assume that errors follow Gaussian distributions.

  9. 9.


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Correspondence to David M. Zimmer.

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Zimmer, D.M. Asymmetric dependence in house prices: evidence from USA and international data. Empir Econ 49, 161–183 (2015).

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  • Copula
  • Joe-Clayton
  • CDO
  • Dependence
  • Contagion

JEL Classification

  • G21
  • C32
  • C51