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UK House Prices: Convergence Clubs and Spillovers

  • Montagnoli, Alberto
  • Nagayasu, Jun

This paper uses the log t test to analyse the convergence of house prices across UK regions and the presence of spillovers e ects. We nd 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://repo.sire.ac.uk/handle/10943/526
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Paper provided by Scottish Institute for Research in Economics (SIRE) in its series SIRE Discussion Papers with number 2013-101.

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Date of creation: 2013
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Handle: RePEc:edn:sirdps:526
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  1. Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers 08-16, Federal Reserve Bank of Philadelphia.
  2. 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.
  3. 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.
  4. 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.
  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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