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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.58,Issue2,P.290-309

语言

英文

关键字

UK regions; House prices; Structural break; Volatility; MGARCH; BEKK; C22; C32; G1; R15; UNIT-ROOT; TESTS; VOLATILITY; INSTABILITY; STATES; RISK

作者单位

[Begiazi, Kyriaki] Oxford Brookes Univ, Dept Accounting Finance & Econ, Oxford OX3 0BP, England. [Katsiampa, Paraskevi] Sheffield Hallam Univ, Sheffield Business Sch, Sheffield S1 1WB, S Yorkshire, England. Begiazi, K (reprint author), Oxford Brookes Univ, Dept Accounting Finance & Econ, Oxford OX3 0BP, England. E-Mail: kbegiazi@brookes.ac.uk; p.katsiampa@shu.ac.uk

摘要

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 market. Our paper enhances the conventional unit root tests by allowing for structural breaks, while including structural break tests strengthens our analysis. Our empirical results support the existence of structural breaks in the mean equation in seven out of thirteen regions of the UK as well as in three out 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 policy selection and investment management.