Climbing the property ladder: An analysis of market integration in London property prices

Mark Holmes (), Jesus Otero and Theodore Panagiotidis

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We investigate the long-run convergence of house prices across the London boroughs based on a pairwise unit root probabilistic testing procedure. In sharp contrast to the earlier literature, we employ a dataset that distinguishes between four different types of property in each borough. Using a quarterly dataset that spans from 1995 to 2014, we find evidence in favour of long-run convergence thereby suggesting that the great majority of London borough house prices are driven by a single common stochastic trend. In a further contribution, we offer new insights through analysing the determinants of long-run convergence, by considering the role of geographic proximity, type of accommodation, and amenities (quality of life).

Keywords: pair-wise; house prices; cointegration; convergence (search for similar items in EconPapers)
JEL-codes: C2 C3 R1 R2 R3 (search for similar items in EconPapers)
Date: 2016-12
New Economics Papers: this item is included in nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Climbing the property ladder: An analysis of market integration in London property prices (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:16-30

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