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UK house prices: convergence clubs and spillovers

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  • Alberto Montagnoli

    ()
    (Division of Economics, University of Stirling)

  • Jun Nagayasu

    ()
    (Graduate School of Systems and Information Engineering,)

Abstract

This paper uses the log t test to analyse the convergence of house prices across UK regions and the presence of spillovers effects. We find that UK house prices can be grouped into four clusters. Moreover we document the dynamics of the house price spillovers across regions.

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File URL: http://www.strath.ac.uk/media/departments/economics/researchdiscussionpapers/2013/13-22FINAL.pdf
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Bibliographic Info

Paper provided by University of Strathclyde Business School, Department of Economics in its series Working Papers with number 1322.

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Length: 9 pages
Date of creation: Oct 2013
Date of revision:
Publication status: Published
Handle: RePEc:str:wpaper:1322

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Keywords: Regional house prices; heterogeneity; convergence; spillovers;

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  1. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  2. McDonald, Ronald & Taylor, Mark P, 1993. "Regional House Prices in Britain: Long-Run Relationships and Short-Run Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(1), pages 43-55, February.
  3. Mark J. Holmes & Arthur Grimes, 2008. "Is There Long-run Convergence among Regional House Prices in the UK?," Urban Studies, Urban Studies Journal Limited, vol. 45(8), pages 1531-1544, July.
  4. Francis X. Diebold & Kamil Yilmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," PIER Working Paper Archive 07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  5. Peter C.B. Phillips & Donggyu Sul, 2005. "Economic Transition and Growth," Cowles Foundation Discussion Papers 1514, Cowles Foundation for Research in Economics, Yale University.
  6. Mark J. Holmes & Arthur Grimes, 2005. "Is there long-run convergence of regional house prices in the UK?," Working Papers 05_11, Motu Economic and Public Policy Research.
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