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Spillover in the UK Housing Market

Dominik Blatt, Kausik Chaudhuri and Hans Manner ()
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Dominik Blatt: Statistics Netherlands, Netherlands
Hans Manner: University of Graz, Austria

No 2021-13, Graz Economics Papers from University of Graz, Department of Economics

Abstract: We study spillovers between regional housing markets in the UK in the period 1973 to 2020. The analysis is based on a vector autoregressive model that allows for structural breaks in its parameters at unknown times. In particular, we allow for distinct breakpoints in the conditional mean, variance and correlation parameters, which enables us to distinguish different spillover channels. Based on the resulting piecewise constant model we compute the spillover index by Diebold and Yilmaz. We find significant time variation of the spillover index that indicates a decreasing role of London for the rest of the country, but that also indicates reduced contagion risk and the existence of the North-South divide that declined later in the sample. Furthermore, a central role of the Midlands is demonstrated.

Keywords: vector autoregression; structural breaks; contagion; spillovers; regional housing markets. (search for similar items in EconPapers)
JEL-codes: C32 G01 R10 R31 (search for similar items in EconPapers)
Date: 2021-10
New Economics Papers: this item is included in nep-eur, nep-geo and nep-ure
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