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Statistical Properties of UK House Prices: An Analysis of Disaggregated Vintages

Author

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  • Steven Cook

    (Department of Economics, University of Wales Swansea, Singleton Park, Swansea, SA2 8PP, UK, S.Cook@Swan.ac.uk)

  • Sean Holly

    (Department of Applied Economics, University of Cambridge, Austin Robinson Building, Sidgwick Avenue, Cambridge, CB3 9DE, UK, sh247@econ.cam.ac.uk)

Abstract

The statistical properties of UK house prices are considered at a disaggregated level, where disaggregation occurs according to the age, or 'vintage', of the housing. Given the frequency of transactions in the housing market and the sophistication of the estate agent system, it might be expected that the series would share long-run relationships and be subject to common short-run shocks. It is found via conventional techniques that both the long-run and short-run relationships are less pronounced than might be expected. However, by extending recent research concerning the testing of common features, commonality in the (short-run) cycles of the house price series is uncovered, albeit with a partial lag. Despite this, the cycles are shown to differ in terms of their asymmetric behaviour.

Suggested Citation

  • Steven Cook & Sean Holly, 2000. "Statistical Properties of UK House Prices: An Analysis of Disaggregated Vintages," Urban Studies, Urban Studies Journal Limited, vol. 37(11), pages 2045-2051, October.
    • Handle: RePEc:sae:urbstu:v:37:y:2000:i:11:p:2045-2051
    DOI: 10.1080/713707230
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    Citations

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    Cited by:

    1. Alessandra Canepa & Emilio Zanetti Chini & Huthaifa Alqaralleh, 2020. "Global Cities and Local Housing Market Cycles," The Journal of Real Estate Finance and Economics, Springer, vol. 61(4), pages 671-697, November.
    2. Steve Cook & Duncan Watson, 2016. "A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices," Urban Studies, Urban Studies Journal Limited, vol. 53(14), pages 3048-3062, November.
    3. Alqaralleh, Huthaifa & Canepa, Alessandra, 2020. "Housing market cycles in large urban areas," Economic Modelling, Elsevier, vol. 92(C), pages 257-267.
    4. Steve Cook, 2012. "β-convergence and the Cyclical Dynamics of UK Regional House Prices," Urban Studies, Urban Studies Journal Limited, vol. 49(1), pages 203-218, January.
    5. James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
    6. Steven Cook, 2006. "A Disaggregated Analysis of Asymmetrical Behaviour in the UK Housing Market," Urban Studies, Urban Studies Journal Limited, vol. 43(11), pages 2067-2074, October.
    7. David Gray & Caroline Elliott, 2015. "Are prices of New dwellings different? A spectral analysis of UK property vintages," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 993860-9938, December.
    8. Panayiotis Tzeremes, 2022. "The Asymmetric Effects of Regional House Prices in the UK: New Evidence from Panel Quantile Regression Framework," Studies in Microeconomics, , vol. 10(1), pages 7-22, June.
    9. Geoffrey Meen, 2016. "Spatial housing economics: A survey," Urban Studies, Urban Studies Journal Limited, vol. 53(10), pages 1987-2003, August.
    10. Steven Cook, 2003. "The Convergence of Regional House Prices in the UK," Urban Studies, Urban Studies Journal Limited, vol. 40(11), pages 2285-2294, October.
    11. Chris Hudson & John Hudson & Bruce Morley, 2018. "Differing house price linkages across UK regions: A multi-dimensional recursive ripple model," Urban Studies, Urban Studies Journal Limited, vol. 55(8), pages 1636-1654, June.
    12. Canepa, Alessandra & Zanetti Chini, Emilio & Alqaralleh, Huthaifa, 2019. "Modelling Housing Market Cycles in Global Cities," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201901, University of Turin.

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