House prices: An econometric model for the U.K.

Giussani, Bruno; Hadjimatheou, George

doi:10.1007/bf02496709

Cited by 11 publications

(4 citation statements)

References 12 publications

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“…A recent study carried out by Oikarinen et al (2018) explores spatial heterogeneity in house price dynamics and discuss the role of price elasticity of housing supply as well as income elasticity of prices. Giussani and Hadjimatheou (1992) were one of the first to develop an econometric model for house prices in the UK. They suggested that the number of households, personal disposable income per capita, house building costs and the total housing stock are the driving forces behind increases in house prices in the long run.…”

Section: Jerer 143mentioning

confidence: 99%

Long run apartment price dynamics in Swedish and German cities

Engerstam

2021

JERER

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PurposeThis study examines the long term effects of macroeconomic fundamentals on apartment price dynamics in major metropolitan areas in Sweden and Germany.Design/methodology/approachThe main approach is panel cointegration analysis that allows to overcome certain data restrictions such as spatial heterogeneity, cross-sectional dependence, and non-stationary, but cointegrated data. The Swedish dataset includes three cities over a period of 23 years, while the German dataset includes seven cities for 29 years. Analysis of apartment price dynamics include population, disposable income, mortgage interest rate, and apartment stock as underlying macroeconomic variables in the model.FindingsThe empirical results indicate that apartment prices react more strongly on changes in fundamental factors in major Swedish cities than in German ones despite quite similar development of these macroeconomic variables in the long run in both countries. On one hand, overreactions in apartment price dynamics might be considered as the evidence of the price bubble building in Sweden. On the other hand, these two countries differ in institutional arrangements of the housing markets, and these differences might contribute to the size of apartment price elasticities from changes in fundamentals. These arrangements include various banking sector policies, such as mortgage financing and valuation approaches, as well as different government regulations of the housing market as, for example, rent control.Originality/valueIn distinction to the previous studies carried out on Swedish and German data for single-family houses, this study focuses on the apartment segment of the market and examines apartment price elasticities from a long term perspective. In addition, the results from this study highlight the differences between the two countries at the city level in an integrated long run equilibrium framework.

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Section: Jerer 143mentioning

confidence: 99%

Long run apartment price dynamics in Swedish and German cities

Engerstam

2021

JERER

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“…Guissani and Hadjimatheou [60] typify this approach. A long-run equation is estimated relating house prices to the existing stock of houses, the number of households, permanent income, house-building costs and the rental level.…”

Section: Wages Unemployment 127mentioning

confidence: 99%

Migration, Wages, Unemployment and the Housing Market –

Millington

1994

International Journal of Manpower

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IntroductionThis article intends to outline how the interlinkages between spatiallysegmented housing and labour markets affect human migration and to summarize the methodology and findings of recent empirical work in the area. In all that follows, the term migration may be taken to mean movement driven primarily by labour market considerations; that is, moves which entail both a change of residence and a change of job and which tend, as we shall see and as might be expected, to involve relatively long distances.The simultaneity underlying the operation of local housing and labour markets should be immediately apparent. Spatial differences in house prices and the availability of rented accommodation may be expected to exert substantial influence over the pattern of response exhibited by economic agents to spatial labour market disparities. For now it is sufficient to bear in mind that owner-occupied housing accounts for a substantial chunk of personal sector wealth and debt, so that risks of capital losses (coupled with income-related mortgage rationing) will bear heavily on the minds of potential migrants. This is particularly important when house prices and expected house price inflation vary significantly over space. (Hamnett[1] cites Inland Revenue estimates that, in 1987, 48 per cent of personal wealth was held in housing.) Nevertheless, other things being equal, buoyant local labour demand may be expected to increase demand for an area's housing stock, thereby forcing up house prices (and rents) and inducing (eventual) increases in local housing supply. Since the interlinkages between local housing and labour markets received relatively scant attention until the 1980s, many of the papers reviewed here are relatively recent. The growing concern with the potentially inhibiting effect of housing variables on the spatial reallocation of labour seems to have coincided with the growing acceptance of the importance of supply-side economic reform.Before reviewing specific studies of migration, some basic facets of migration modelling will be examined. The so-called "gravity model", which has a particularly long pedigree, will be the primary focus of attention. Since Molho[2] and Gordon[3] already offer comprehensive discussions of gravity models' general characteristics, I will not replicate their work here. I intend,

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“…For example, house prices were always converted to natural logarithms in empirical tests in previous house price studies in order to reduce the heteroscedasticity variance problems in ordinary least squares (OLS) regression. On the other hand, Hendry (1984) and Giussani and Hadjimatheou (1990) have tried to model the volatility by using non‐linear specifications to capture extreme movements in house prices. Hendry (1984) used a cubic approximation function, calculated as the cubic term of house price changes.…”

Section: Introductionmentioning

confidence: 99%

“…Hendry (1984) used a cubic approximation function, calculated as the cubic term of house price changes. Giussani and Hadjimatheou (1990) used both square and cubic terms to capture the rapid adjustment of house price.…”

Section: Introductionmentioning

confidence: 99%

The asymmetric volatility of house prices in the UK

Tsai

Chen

2009

Property Management

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PurposeThe purpose of this paper is to show an indication that the asymmetric volatility between house price movement may account for the defensiveness of the housing market.Design/methodology/approachFirst the UK nation‐wide house price data from the last quarter (Q4) of 1955 to the last quarter of 2005 are used and then the most suitable mean and variance equations to estimate the conditional heteroscedasticity volatilities of the returns of house prices are selected. Second, a variable that examines the leverage effect of volatility is incorporated into the model. The GJR‐GARCH model is used.FindingsThe results of the empirical test show that while the lagged innovations are negatively correlated with housing return, that is when there is bad news, the current volatility of housing return might decline.Research limitations/implicationsThe results indicate that the volatilities between house prices moving up and moving down are asymmetric.Practical implicationsThe results show that there is a defensive effect in the UK housing market during the data periods used.Originality/valueAlthough several articles have documented that there is heteroscedasticity and autocorrelation in the volatilities of real estate prices, few of those papers have noted one of the most important advantages of the housing market, its defensiveness, from the viewpoint of volatile behavior.

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House prices: An econometric model for the U.K.

Cited by 11 publications

References 12 publications

Long run apartment price dynamics in Swedish and German cities

Long run apartment price dynamics in Swedish and German cities

Migration, Wages, Unemployment and the Housing Market –

The asymmetric volatility of house prices in the UK

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