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The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom

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  • Oguzhan Cepni

    (Copenhagen Business School
    Ostim Technical University
    University of Edinburgh Business School, Centre for Business, Climate Change, and Sustainability)

  • Hardik A. Marfatia

    (Northeastern Illinois University)

  • Rangan Gupta

    (University of Pretoria)

Abstract

The housing markets in districts across the United Kingdom (UK) co-move over time. We use the dynamic factor model to decompose the co-movement in house prices of the smallest possible geographical unit into national, regional, and idiosyncratic factors. Using the Bayesian time-varying parameter VAR (TVP-VAR) model, we study the dynamic impact of uncertainty shocks on synchronization in housing markets. We find that the estimated national factor accurately tracks the overall housing market cycles in the UK and explains nearly all the variations in East, South–East, and South–West districts. Furthermore, the results from TVP-VAR indicate that the estimated response of the national factor to uncertainty shocks is negative. However, the magnitude of the effect is more pronounced and persists longer in the case of housing price uncertainty shocks compared to overall economic uncertainty. Overall, our results suggest that uncertainty about house prices is a primary driver of the national factor.

Suggested Citation

  • Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025. "The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom," Palgrave Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
    • Handle: RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04494-8
    DOI: 10.1057/s41599-025-04494-8
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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