Modeling Regional House Prices in the United Kingdom

Giussani, Bruno; Hadjimatheou, George

doi:10.1111/j.1435-5597.1991.tb01728.x

Cited by 89 publications

(46 citation statements)

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“…In a similar fashion, Guissani and Hadjimatheou (1991) and Petersen et al (2002) viewed the ripple effect as implying correlation between house prices, producing results which were supportive of the hypothesis.…”

Section: The Ripple Effect: a Summary Of The Empirical Literaturesupporting

confidence: 69%

“…1, 2 As a consequence, Guissani and Hadjimatheou (1991) and Alexander and Barrow (1994) employed Granger causality tests to establish a causal relationship running from the South East to the North. In a similar fashion, Guissani and Hadjimatheou (1991) and Petersen et al (2002) viewed the ripple effect as implying correlation between house prices, producing results which were supportive of the hypothesis.…”

Section: The Ripple Effect: a Summary Of The Empirical Literaturementioning

confidence: 99%

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A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices

Cook

Watson

2016

Urban Studies

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An alternative perspective is provided on the existence of a ripple effect in the UK housing market. In contrast to previous studies, the analysis involves consideration of information on the changes in house prices to which the hypothesis of house price diffusion posited by the ripple effect relates, rather than their levels. In an examination of changes in house prices in London relative to other regions of the UK, directional forecasting methods are employed to establish the extent of the relationship between geographical proximity and comovement across the three month window provided by quarterly data. Consequently, the analysis provides a direct examination of the ripple effect which refers to changes in prices rather than the convergence of levels which has become a feature of the empirical literature. The literature is extended further by both the application of dating techniques to perform the analysis across cycles and phases of cycles (recovery and recessionary periods) in the UK housing market, and the use of data from two alternative house price index providers. Striking results in support of the presence of a ripple effect are noted, particularly for the less commonly considered Halifax price index where the most significant results for comovement with London are exhibited by its contiguous regions. In addition, the cyclical subsamples considered indicate comovement to be greater during upturns, rather than downturns in the market. This is consistent with previous research showing London to correct, i.e. exhibit differing behaviour to other regions, during downturns.

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Section: The Ripple Effect: a Summary Of The Empirical Literaturesupporting

confidence: 69%

Section: The Ripple Effect: a Summary Of The Empirical Literaturementioning

confidence: 99%

A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices

Cook

Watson

2016

Urban Studies

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“…According to Giussani and Hadjimatheou (1991), Milne (1991), Chen and Patel (1998), income and housing price have a positive relationship. They use co-integration test to show the relevance of the basis of signifi cant, and fi nd that housing price and income exist long-run equilibrium situation.…”

Section: Income and Housing Price Relationshipmentioning

confidence: 99%

“…Chen (1990), Hsueh (1990), Wu (1994), conclude that income growth is positively related to housing price; Giussani and Hadjimatheou (1991), Milne (1991), Chen and Patel (1998) also fi nd that a long-run equilibrium situation exists between housing price and income, i.e. stabilized fi gures could have be found in "price-to-income ratio".…”

Section: Introductionmentioning

confidence: 99%

Study of Guangzhou House Price Bubble Based on State‐space Model

Hui

2009

International Journal of Strategic Property Management

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ABSTRACT. Previous literature has explored Guangzhou's real estate market bubble problem, by using the perspective of rent receipts to measure the fundamental housing value. Since there is high proportion of owner-occupied property in Guangzhou; and that the household income is considered a key factor affecting housing price level, this article is from the perspective of household income, by the present asset market model, it sets up housing price model that analysis of the bubble phenomenon, and uses the state-space model that can be estimated characteristics by unobservable variables. The article estimates the price bubble and analyzes the size of the bubble at different times. The housing price in Guangzhou from January 2004 to December 2008 is studied. The results concluded that the housing market bubble peaked in October 2007 at around 43% of the market housing price.

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“…The majority of the earlier studies relied heavily upon a causality framework. For example, Giussani &Hadjimatheou (1991) andMacDonald &Taylor (1993) both report evidence supportive of the ripple effect with London as the base region. Whilst reporting broadly similar findings, the paper of Alexander & Barrow (1994) extends the analysis in two respects.…”

mentioning

confidence: 99%

Synchronisation and commonalities in metropolitan housing market cycles

2014

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This paper examines the degree of commonalities present in the cyclical behavior of the eight largest metropolitan housing markets in Australia. Using two techniques originally in the business cycle literature we consider the degree of synchronization present and secondly decompose the series' into their permanent and cyclical components. Both empirical approaches reveal similar results. Sydney and Melbourne are closely related to each other and are relatively segmented from the smaller metropolitan areas. In contrast, there is substantial evidence of commonalities in the cyclical behavior of the remaining cities, especially those on the Eastern and Southern coasts of Australia.

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Modeling Regional House Prices in the United Kingdom

Cited by 89 publications

References 0 publications

A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices

A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices

Study of Guangzhou House Price Bubble Based on State‐space Model

Synchronisation and commonalities in metropolitan housing market cycles

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