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Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?

Author

Listed:
  • Hossein Hassani

    () (The Statistical Research Centre, Bournemouth University, Bournemouth, UK)

  • Mohammad Reza Yeganegi

    () (Department of Statistics, Shahid Chamran University of Ahvaz, Ahvaz, Iran)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

In this paper, we analyze the potential role of growth in inequality for forecasting real housing returns of the United Kingdom (UK). In our forecasting exercise, we use linear and nonlinear models, as well as, measures of absolute and relative consumption and income inequalities at quarterly frequency over the period of 1975 to 2016. Our results indicate that, while nonlinearity in the data generating process of real housing returns is important, growth in inequality does not necessarily carry important information in forecasting the future path of housing prices in the UK.

Suggested Citation

  • Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta, 2018. "Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?," Working Papers 201859, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201859
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    References listed on IDEAS

    as
    1. Nyakabawo, Wendy & Miller, Stephen M. & Balcilar, Mehmet & Das, Sonali & Gupta, Rangan, 2015. "Temporal causality between house prices and output in the US: A bootstrap rolling-window approach," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 55-73.
    2. Christophe Andre & Rangan Gupta & Patrick T. Kanda, 2012. "Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 58(1), pages 19-70.
    3. Mumtaz, Haroon & Theophilopoulou, Angeliki, 2017. "The impact of monetary policy on inequality in the UK. An empirical analysis," European Economic Review, Elsevier, vol. 98(C), pages 410-423.
    4. Matlack, Janna L. & Vigdor, Jacob L., 2008. "Do rising tides lift all prices? Income inequality and housing affordability," Journal of Housing Economics, Elsevier, vol. 17(3), pages 212-224, September.
    5. Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan, 2014. "Housing and the business cycle in South Africa," Journal of Policy Modeling, Elsevier, vol. 36(3), pages 471-491.
    6. Omokolade Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2016. "Real estate returns predictability revisited: novel evidence from the US REITs market," Empirical Economics, Springer, vol. 51(3), pages 1165-1190, November.
    7. Barrell, Ray & Costantini, Mauro & Meco, Iris, 2015. "Housing wealth, financial wealth, and consumption: New evidence for Italy and the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 316-323.
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    10. Omokolade Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2016. "Erratum to: Real estate returns predictability revisited: novel evidence from the US REITs market," Empirical Economics, Springer, vol. 51(3), pages 1191-1191, November.
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    Keywords

    Income and Consumption Inequalities; Real Housing Returns; Forecasting; Linear and Nonlinear Models; United Kingdom;

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