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Detecting long-run relationships in regional house prices in the UK

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  • Steven Cook

Abstract

Recent developments in the analysis of cointegration in the presence of asymmetric adjustment are extended and applied to data on regional house prices in the UK. This extension is found to have a dramatic impact upon the results derived. In contrast to recent studies employing standard methods, allowance for the possibility of asymmetric behaviour results in the detection of a large number of long-run relationships between house prices in different regions. A consistent pattern of asymmetric adjustment is observed, with reversion to equilibrium occurring more rapidly (slowly) when house prices in the South of England decrease (increase) relative to other regions. While the results derived support the existence of a ripple effect underlying the observed movements in regional house prices, the extent of cointegration uncovered casts doubt upon the recently proposed notion of weak segmentation in the UK housing market.

Suggested Citation

  • Steven Cook, 2005. "Detecting long-run relationships in regional house prices in the UK," International Review of Applied Economics, Taylor & Francis Journals, vol. 19(1), pages 107-118.
  • Handle: RePEc:taf:irapec:v:19:y:2005:i:1:p:107-118
    DOI: 10.1080/0269217042000312632
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    Citations

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    Cited by:

    1. Carlos P. Barros & Luis A. Gil-Alana, 2013. "The Housing Markets in Spain and Portugal: Evidence of Persistence," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 19-32, November.
    2. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Floros, Christos, 2015. "Dynamic Connectedness of UK Regional Property Prices," MPRA Paper 68421, University Library of Munich, Germany.
    3. 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.
    4. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2010. "Unit Roots and Structural Change: An Application to US House-Price Indices," Working papers 2010-04, University of Connecticut, Department of Economics, revised Dec 2010.
    5. Kim, Young Se & Rous, Jeffrey J., 2012. "House price convergence: Evidence from US state and metropolitan area panels," Journal of Housing Economics, Elsevier, vol. 21(2), pages 169-186.
    6. Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta, 2015. "Convergence In Provincial-Level South African House Prices: Evidence From The Club Convergence And Clustering Procedure," Review of Urban & Regional Development Studies, Wiley Blackwell, vol. 27(1), pages 2-17, March.
    7. Carlos Pestana BARROS & Zhongfei CHEN & Luis A. GIL-ALANA, 2013. "Long Memory in the Housing Price Indices in China," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(7), pages 785-807, July.
    8. Petra Posedel & Maruška Vizek, 2011. "Are House Prices Characterized by Threshold Effects? Evidence from Developed and Post-Transition Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 584-600, December.
    9. Zohrabyan, Tatevik & Leatham, David J. & Bessler, David A., 2008. "Cointegration Analysis of Regional House Prices in U.S," Proceedings: 2007 Agricultural and Rural Finance Markets in Transition, October 4-5, 2007, St. Louis, Missouri 48138, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    10. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
    11. repec:uts:finphd:35 is not listed on IDEAS
    12. Rangan Gupta & Stephen Miller, 2012. "The Time-Series Properties of House Prices: A Case Study of the Southern California Market," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 339-361, April.
    13. William Miles, 2015. "Bubbles, Busts and Breaks in UK Housing," International Real Estate Review, Asian Real Estate Society, vol. 18(4), pages 455-471.
    14. I-Chun Tsai, 2015. "Spillover Effect between the Regional and the National Housing Markets in the UK," Regional Studies, Taylor & Francis Journals, vol. 49(12), pages 1957-1976, December.
    15. Seema Narayan & Paresh Kumar Narayan, 2011. "The Importance of Real and Nominal Shocks on the UK Housing Market," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 219-234, December.
    16. Alfred Larm Teye & Daniel Felix Ahelegbey, 2017. "Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach," ERES eres2017_337, European Real Estate Society (ERES).
    17. Ryan Greenaway-McGrevy & Arthur Grimes & Mark Holmes, 2016. "Two countries, sixteen cities, five thousand kilometres: How many housing markets?," ERSA conference papers ersa16p49, European Regional Science Association.
    18. Tsai, I-Chun, 2014. "Ripple effect in house prices and trading volume in the UK housing market: New viewpoint and evidence," Economic Modelling, Elsevier, vol. 40(C), pages 68-75.
    19. Nicholas Apergis & James Payne, 2012. "Convergence in U.S. house prices by state: evidence from the club convergence and clustering procedure," Letters in Spatial and Resource Sciences, Springer, vol. 5(2), pages 103-111, July.
    20. Payne, James E., 2012. "The Long-Run Relationship among Regional Housing Prices: An Empirical Analysis of the U.S," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 42(1).
    21. Mary Riddel, 2011. "Are Housing Bubbles Contagious? A Case Study of Las Vegas and Los Angeles Home Prices," Land Economics, University of Wisconsin Press, vol. 87(1), pages 126-144.
    22. repec:eee:regeco:v:65:y:2017:i:c:p:56-64 is not listed on IDEAS

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