Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis

Journal of Real Estate Finance and Economics (2019)

Posted: 22 May 2019

See all articles by Kyriaki Begiazi

Kyriaki Begiazi

affiliation not provided to SSRN

Paraskevi Katsiampa

Sheffield University Management School

Date Written: April 22, 2019

Abstract

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

Begiazi, Kyriaki and Katsiampa, Paraskevi, Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis (April 22, 2019). Journal of Real Estate Finance and Economics (2019). Available at SSRN: https://ssrn.com/abstract=3376165

Kyriaki Begiazi (Contact Author)

affiliation not provided to SSRN

Paraskevi Katsiampa

Sheffield University Management School ( email )

17 Mappin Street
Sheffield, Sheffield S1 4DT
United Kingdom

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