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An application of two non-parametric techniques to the prices of British dwellings: An examination of cyclicality

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  • David Gray

Abstract

Using a Pesaran-Timmermann test of co-movement, Cook and Watson (Cook S and Watson D, 2015, A new perspective on the ripple effect in the UK housing market: Co-movement, cyclical subsamples and alternative indices. Urban Studies 53(14): 3048–3062) suggest they have highlighted the ‘ripple’ effect. Using reference series of the UK, London, Scotland and three deterministic-periodic series, regional prices are shown to have similar cyclical characteristics, with delays based on distance from London. With periodicities consistent with those revealed by spectral analysis, the deterministic-periodic series reference provides a means of establishing cyclical characteristics whilst avoiding issues concerning variable amplitudes. Although a ripple is revealed, using London as a reference poses problems empirically: its cycle is likely to be atypical as well as asynchronised.

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  • David Gray, 2018. "An application of two non-parametric techniques to the prices of British dwellings: An examination of cyclicality," Urban Studies, Urban Studies Journal Limited, vol. 55(10), pages 2286-2299, August.
    • Handle: RePEc:sae:urbstu:v:55:y:2018:i:10:p:2286-2299
    DOI: 10.1177/0042098017710381
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    Cited by:

    1. Lo Cascio, Iolanda, 2021. "A wavelet analysis of the ripple effect in UK regional housing markets," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1093-1105.
    2. David Gray, 2020. "An international housing market in the British Isles: Evidence from business and medium-term cycles using a Friedman test," Urban Studies, Urban Studies Journal Limited, vol. 57(2), pages 307-322, February.

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