4.7 Article

A wavelet analysis of the ripple effect in UK regional housing markets

期刊

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
卷 76, 期 -, 页码 1093-1105

出版社

ELSEVIER
DOI: 10.1016/j.iref.2021.08.001

关键词

Wavelet coherence; Ripple effect; House prices; Returns

向作者/读者索取更多资源

This paper investigates the spatio-temporal mechanism of house price spillovers among 12 UK regional housing markets over the period 1973-2018, using wavelet analysis tools to reveal spectral characteristics and how different periodic components of housing returns evolve over time. Results show spillovers from London to other markets at both business cycle frequencies and in the long run for regions closer to London, with London remaining the dominant market in the long run.
The paper aims at gaining insights on the spatio-temporal mechanism of house price spillovers, also known as ripple effect, among 12 UK regional housing markets, over the period 1973-2018. From a policy perspective, it is essential to discriminate if the effects of a shock decay more slowly along the geographical dimension as compared to the decay along the time dimension. We enter the debate in a novel manner by using some wavelet analysis tools (wavelet coherence and phase differences amongst others) which reveal the spectral characteristics of a series and show how different periodic components of housing returns evolve over time. Results are interesting. Spillovers from London to other markets are detected both at business cycle frequencies and in the long run for those regions closer to London. More distant regions price changes lead London market only in the short run and for selected time spans; at business cycle frequencies, London is follower during the crisis. However, in the long run, London remains the dominant market.

作者

我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。

评论

主要评分

4.7
评分不足

次要评分

新颖性
-
重要性
-
科学严谨性
-
评价这篇论文

推荐

暂无数据
暂无数据