 Detecting long-run relationships in regional house prices in the UKSteven Cook International Review of Applied Economics, 2005, vol. 19, issue 1, 107-118 Abstract: Recent developments in the analysis of cointegration in the presence of asymmetric adjustment are extended and applied to data on regional house prices in the UK. This extension is found to have a dramatic impact upon the results derived. In contrast to recent studies employing standard methods, allowance for the possibility of asymmetric behaviour results in the detection of a large number of long-run relationships between house prices in different regions. A consistent pattern of asymmetric adjustment is observed, with reversion to equilibrium occurring more rapidly (slowly) when house prices in the South of England decrease (increase) relative to other regions. While the results derived support the existence of a ripple effect underlying the observed movements in regional house prices, the extent of cointegration uncovered casts doubt upon the recently proposed notion of weak segmentation in the UK housing market. Keywords: Cointegration; threshold autoregression; regional house prices; ripple effect; asymmetry (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:irapec:v:19:y:2005:i:1:p:107-118 Ordering information: This journal article can be ordered from DOI: 10.1080/0269217042000312632 Access Statistics for this article International Review of Applied Economics is currently edited by Professor Malcolm Sawyer More articles in International Review of Applied Economics from Taylor & Francis Journals |
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