Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis
Journal of Real Estate Finance and Economics (2019)
Posted: 22 May 2019
Date Written: April 22, 2019
This paper differs from previous research by examining the existence of structural breaks in the UK regional house prices as well as in the prices of the different property types (flats, terraced, detached and semi-detached houses) in the UK as a whole, motivated by the uncertainty in the UK housing market and various financial events that may lead to structural changes within the housing including structural break tests strengthens our analysis. Our empirical results support the existence of four property types, and in the variance equation in six regions and three property types. In addition, using a multivariate GARCH approach we examine both the behaviour of variances and covariances of the house price returns over time. Our results have significant implications for appropriate economic polilcy selection and investment management.
Keywords: UK regions; House prices; Structural break; Volatility; MGARCH; BEKK
JEL Classification: C22, C32, G1, R15
Suggested Citation: Suggested Citation