Modelling UK house prices with structural breaks and conditional variance analysis

BEGIAZI, Kyriaki and KATSIAMPA, Paraskevi (2018). Modelling UK house prices with structural breaks and conditional variance analysis. The Journal of Real Estate Finance and Economics.

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Official URL: https://link.springer.com/article/10.1007/s11146-0...
Link to published version:: https://doi.org/10.1007/s11146-018-9652-5
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    Abstract

    This paper differs from previous research by examining the existence of structural breaks in the UK regional house prices as well as in the prices of the different property types (flats, terraced, detached and semi-detached houses) in the UK as a whole, motivated by the uncertainty in the UK housing market and various financial events that may lead to structural changes within the housing market. Our paper enhances the conventional unit root tests by allowing for structural breaks, while including structural break tests strengthens our analysis. Our empirical results support the existence of structural breaks in the mean equation in seven out of thirteen regions of the UK as well as in three out of four property types, and in the variance equation in six regions and three property types. In addition, using a multivariate GARCH approach we examine both the behaviour of variances and covariances of the house price returns over time. Our results have significant implications for appropriate economic policy selection and investment management.

    Item Type: Article
    Departments - Does NOT include content added after October 2018: Sheffield Business School > Department of Management
    Identification Number: https://doi.org/10.1007/s11146-018-9652-5
    Depositing User: Jill Hazard
    Date Deposited: 16 Jan 2018 14:40
    Last Modified: 13 Jan 2019 01:18
    URI: http://shura.shu.ac.uk/id/eprint/18371

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