A nonlinear pairwise approach for the convergence of UK regional house prices

Time‐varying connectedness of metropolitan housing markets

“…Miles (2015) employs measures of synchronicity and similarity for house prices across nine U.S. regional housing markets to discover the decreasing integration of housing markets reflective of market segmentation until 2005 after which the degree of integration increases. Tsai (2018) investigates the ripple effect across four U.S. regional housing markets using the spillover and connectedness indices of Diebold and Yilmaz (2009) to 2 The early literature on the United Kingdom emphasized the role of Greater London and South East regions in driving house price dynamics; see Rosenthal (1986), Giussani andHadjimatheou (1991), MacDonald andTaylor (1993), Alexander and Barrow (1994), Drake (1995), Ashworth and Parker (1997), Meen (1999), Cook and Holly (2000), Cook and Thomas (2003), Cook (2003Cook ( , 2005aCook ( , 2005bCook ( , 2006Cook ( , 2012, Worthington and Higgs (2003), Holmes (2007), Holmes and Grimes (2008), Holly et al (2011), De Vita (2012, 2013), Gray (2012Gray ( , 2018Gray ( , 2021, Montagnoli and Nagayasu (2015), Cook and Watson (2016), Antonakakis et al (2018), Hudson et al (2018), Kyriazakou and Panagiotidis (2018), Begiazi and Katsiampa (2019), Holmes et al (2019), Tsai (2014Tsai ( , 2015Tsai ( , 2020, Miles (2020),…”