Advanced Search
MyIDEAS: Login

Conditional Variances in UK Regional House Prices

Contents:

Author Info

  • Geoff Willcocks
Registered author(s):

    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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.taylorandfrancisonline.com/doi/abs/10.1080/17421772.2010.493951
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

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

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

    as in new window
    Handle: RePEc:taf:specan:v:5:y:2010:i:3:p:339-354

    Contact details of provider:
    Web page: http://www.tandfonline.com/RSEA20

    Order Information:
    Web: http://www.tandfonline.com/pricing/journal/RSEA20

    Related research

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

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:taf:specan:v:5:y:2010:i:3:p:339-354. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.