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Conditional Variances in UK Regional House Prices

Author

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  • Geoff Willcocks

Abstract

Abstract The returns of house price indices for the 13 UK regions are modelled using time series processes, including conditional variances. The first conclusion is that the UK follows the USA, with some regions displaying time-varying variances and others with constant variances. Secondly, there is limited evidence of an asymmetric component in six of the seven regions displaying autoregressive conditional heteroskedasticity. Thirdly, the results suggest that there are three distinct housing markets in the UK, based on common structures within their mean and variance processes, and that South West England is the region driving the other time-varying variances. Variances conditionnelles dans les prix régionaux de l'immobilier au Royaume-Uni Résumé Les résultats de l'indice des prix de l'immobilier pour les 13 régions du Royaume-Uni sont modélisés ici au moyen de procédés de séries chronologiques, y compris des variances conditionnelles. La première conclusion est que le Royaume-Uni suit les États-Unis, certaines régions présentant des variances temporelles, d'autres des variances constantes. Deuxièmement, on relève peu de traces d'un composant asymétrique dans six des sept régions présentant une hétéroscédasticité conditionnelle autorégressive. Troisièmement, les résultats indiquent qu'il y aurait trois marchés de l'immobilier distincts au Royaume-Uni, sur la base de structures communes dans le cadre de leurs procédés moyens et de variance, et que le sud-ouest de l'Angleterre est la région qui dynamise les autres variances temporelles. Varianzas condicionales en los precios regionales de la vivienda en el Reino Unido Extracto Las cifras de los índices de precios de la vivienda en 13 regiones del Reino Unido se modelan utilizando procesos de series temporales, incluyendo varianzas condicionales. La primera conclusión es que el Reino Unido sigue a los EE UU, con varias regiones que muestran varianzas fluctuantes con el tiempo y otras con varianzas constantes. En segundo lugar, existe evidencia limitada de un componente asimétrico en seis de las siete regiones que muestran una heteroesquedacidad condicional autorregresiva. En tercer lugar, los resultados sugieren que existen tres mercados distintivos de la vivienda en el Reino Unido, basados en estructuras comunes dentro de sus procesos de media y varianza, y que el sudoeste de Inglaterra es la región que dirige las otras varianzas fluctuantes con el tiempo.

Suggested Citation

  • Geoff Willcocks, 2010. "Conditional Variances in UK Regional House Prices," Spatial Economic Analysis, Taylor & Francis Journals, vol. 5(3), pages 339-354.
  • Handle: RePEc:taf:specan:v:5:y:2010:i:3:p:339-354
    DOI: 10.1080/17421772.2010.493951
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    Cited by:

    1. Bruce Morley & Dennis Thomas, 2016. "An Empirical Analysis of UK House Price Risk Variation by Property Type," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 45-56, May.
    2. repec:erc:cypepr:v:11:y:2017:i:1:p:69-82 is not listed on IDEAS

    More about this item

    Keywords

    UK regions; house prices; GARCH; C22; R12;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)

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