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Bubbles and contagion in English house prices

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Author Info
Fry, J. M.

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Abstract

Using methods originating from statistical physics we model bubbles in English house prices. It is found that there was a nationwide housing bubble 2002-2007. Typically prices were 30-40% over-valued and fell around 20%. London is atypical in that the level of over-pricing was lower, only around 20%, and experienced a drop in prices of only around 15%. There is some suggestion of contagious effects, with the bubble in London affecting prices in Yorkshire and the North.

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File URL: http://mpra.ub.uni-muenchen.de/17687/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17687.

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Date of creation: Oct 2009
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Handle: RePEc:pra:mprapa:17687

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Related research
Keywords: financial crashes; super-exponential growth; illusion of certainty; contagion; housing-bubble; Enlish house prices;

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C0 - Mathematical and Quantitative Methods - - General
R11 - Urban, Rural, and Regional Economics - - General Regional Economics - - - Analysis of Growth, Development, and Changes
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

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  1. D. Sornette & J. V. Andersen, 2001. "A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles," Quantitative Finance Papers cond-mat/0104341, arXiv.org, revised Apr 2002. [Downloadable!]
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This page was last updated on 2009-11-29.

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