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Conditional Variances in UK Regional House Prices

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  • Geoff Willcocks
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    Abstract

    Abstract The returns of house price indices for the 13 UK regions are modelled using time series processes, including conditional variances. The first conclusion is that the UK follows the USA, with some regions displaying time-varying variances and others with constant variances. Secondly, there is limited evidence of an asymmetric component in six of the seven regions displaying autoregressive conditional heteroskedasticity. Thirdly, the results suggest that there are three distinct housing markets in the UK, based on common structures within their mean and variance processes, and that South West England is the region driving the other time-varying variances. Variances conditionnelles dans les prix r�gionaux de l'immobilier au Royaume-Uni R�sum� Les r�sultats de l'indice des prix de l'immobilier pour les 13 r�gions du Royaume-Uni sont mod�lis�s ici au moyen de proc�d�s de s�ries chronologiques, y compris des variances conditionnelles. La premi�re conclusion est que le Royaume-Uni suit les �tats-Unis, certaines r�gions pr�sentant des variances temporelles, d'autres des variances constantes. Deuxi�mement, on rel�ve peu de traces d'un composant asym�trique dans six des sept r�gions pr�sentant une h�t�rosc�dasticit� conditionnelle autor�gressive. Troisi�mement, les r�sultats indiquent qu'il y aurait trois march�s de l'immobilier distincts au Royaume-Uni, sur la base de structures communes dans le cadre de leurs proc�d�s moyens et de variance, et que le sud-ouest de l'Angleterre est la r�gion qui dynamise les autres variances temporelles. Varianzas condicionales en los precios regionales de la vivienda en el Reino Unido Extracto Las cifras de los �ndices de precios de la vivienda en 13 regiones del Reino Unido se modelan utilizando procesos de series temporales, incluyendo varianzas condicionales. La primera conclusi�n es que el Reino Unido sigue a los EE UU, con varias regiones que muestran varianzas fluctuantes con el tiempo y otras con varianzas constantes. En segundo lugar, existe evidencia limitada de un componente asim�trico en seis de las siete regiones que muestran una heteroesquedacidad condicional autorregresiva. En tercer lugar, los resultados sugieren que existen tres mercados distintivos de la vivienda en el Reino Unido, basados en estructuras comunes dentro de sus procesos de media y varianza, y que el sudoeste de Inglaterra es la regi�n que dirige las otras varianzas fluctuantes con el tiempo.

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    File URL: http://www.taylorandfrancisonline.com/doi/abs/10.1080/17421772.2010.493951
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    Bibliographic Info

    Article provided by Taylor and Francis Journals in its journal Spatial Economic Analysis.

    Volume (Year): 5 (2010)
    Issue (Month): 3 ()
    Pages: 339-354

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    Handle: RePEc:taf:specan:v:5:y:2010:i:3:p:339-354

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    Related research

    Keywords: UK regions; house prices; GARCH; C22; R12;

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