EconPapers    
Economics at your fingertips  
 

U.K. House Prices: Bubbles or Market Efficiency? Evidence from Regional Analysis

Yi Wu () and Nicole Lux ()
Additional contact information
Yi Wu: Cass Business School, City University of London, London EC1Y 8TZ, UK
Nicole Lux: Cass Business School, City University of London, London EC1Y 8TZ, UK

Journal of Risk and Financial Management, 2018, vol. 11, issue 3, 1-16

Abstract: This paper studies U.K. regional house prices across nine regions from January 2005 to December 2017 to identify regional versus national effects on house prices and potential house price bubbles. It uses a version of the Gordon dividend discount model, modelling house prices as the present value of imputed rents as a measure of fundamentals. It differentiates between long-term and short-term effect using pooled mean group (PMG) and mean group estimation (MG) to determine variations in regional house prices during different periods relating to the most recent financial crisis. The results confirm that the crisis had differentiating effects in the short term, but there is reversion back to long-run fundamentals. Regional trend analysis shows that the house price growth in the regions has been affected differently in the short run and each region has varying long-run fundamentals. Residential property values in London have shown strongest short-run momentum.

Keywords: U.K. regional house price; housing bubbles; pooled mean group estimation; mean group estimation (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.mdpi.com/1911-8074/11/3/54/pdf (application/pdf)
https://www.mdpi.com/1911-8074/11/3/54/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:54-:d:169559

Access Statistics for this article

Journal of Risk and Financial Management is currently edited by Prof. Dr. Michael McAleer

More articles in Journal of Risk and Financial Management from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

 
Page updated 2019-03-30
Handle: RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:54-:d:169559