 Developing a house price-at-risk framework for the UKNo 1193, Bank of England Staff Working Paper series from Bank of England Abstract: This paper develops a house price-at-risk framework for the UK. The model allows me to track and decompose different parts of the distribution of house price growth. The analysis covers both the national level, and nine English regions, along with Wales, Scotland, and Northern Ireland. I employ a comprehensive set of variables and indicators that could help to explain house price dynamics. My main findings are that since the 1970s, the most important predictors for the tail of the distribution have been transaction growth, changes in mortgage rate, credit to GDP gap, and financial stress. I utilise several forecasting horizons and demonstrate that this framework can be applied to forecast downside risks to house price growth and the probability of negative growth up to two years ahead. At the regional level, the analysis reveals considerable variation in the estimated coefficients for mortgage interest rates, with supply-inelastic regions showing higher values than other areas. Finally, I find that an increase in the housing supply in most regions is associated with subsequent easing of price pressures in regional markets. Keywords: House price dynamics; financial stability; quantile regression; sub-national house price growth (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:boe:boeewp:023315 Access Statistics for this paper More papers in Bank of England Staff Working Paper series from Bank of England Bank of England, Threadneedle Street, London, EC2R 8AH. Contact information at EDIRC. |
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