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A preliminary investigation of northern Ireland's housing market dynamics

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  • Bond, Derek
  • Gallagher, Emer
  • Ramsey, Elaine

Abstract

In this paper recent developments in dynamic econometric methodology are used to explore the possibility of asset bubbles in the Northern Ireland housing market. This market is interesting as its house price trajectory is quite unlike any neighbouring market. In recent years it seems to have been influenced both by the general UK market and the Republic of Ireland's housing market. The dynamics of the market are explored through univariate analysis, using sequential unit root tests and fractional integration. The findings provide an indication of the principle developments in the market and could provide the basis for further causal analysis.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 39806.

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Date of creation: 03 Jul 2012
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Handle: RePEc:pra:mprapa:39806

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Keywords: House prices; Northern Ireland; Asset Bubbles; Sequential Unit Root tests; fractional integration; fundamental value;

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  1. Matteo Iacoviello & Stefano Neri, 2008. "Housing market spillovers : evidence from an estimated DSGE model," Working Paper Research, National Bank of Belgium 145, National Bank of Belgium.
  2. Marsh, Terry A & Merton, Robert C, 1986. "Dividend Variability and Variance Bounds Tests for the Rationality ofStock Market Prices," American Economic Review, American Economic Association, American Economic Association, vol. 76(3), pages 483-98, June.
  3. Muellbauer, John & Murphy, Anthony, 1997. "Booms and Busts in the UK Housing Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1615, C.E.P.R. Discussion Papers.
  4. Juan J. Dolado & Jesus Gonzalo & Laura Mayoral, 2002. "A Fractional Dickey-Fuller Test for Unit Roots," Econometrica, Econometric Society, Econometric Society, vol. 70(5), pages 1963-2006, September.
  5. KevinJ. Lansing, 2010. "Rational and Near-Rational Bubbles Without Drift," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 120(549), pages 1149-1174, December.
  6. Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-04, Board of Governors of the Federal Reserve System (U.S.).
  7. Smith, Aaron, 2005. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 321-335, July.
  8. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," American Economic Review, American Economic Association, American Economic Association, vol. 99(2), pages 466-72, May.
  9. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(10), pages 2633-2654, October.
  10. Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, Elsevier, vol. 136(1), pages 115-130, January.
  11. Carlos Vargas-Silva, 2007. "Monetary policy and the U.S. housing market: A VAR analysis imposing sign restrictions," Working Papers, Sam Houston State University, Department of Economics and International Business 0705, Sam Houston State University, Department of Economics and International Business.
  12. Hott, C., 2011. "Lending behavior and real estate prices," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(9), pages 2429-2442, September.
  13. M. Frömmel & R. Kruse, 2011. "Testing for a rational bubble under long memory," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 11/722, Ghent University, Faculty of Economics and Business Administration.
  14. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long-range dependencies," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 30(3), pages 263-285, 05.
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