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Spillover in the UK Housing Market

Author

Listed:
  • Dominik Blatt

    (Statistics Netherlands, Netherlands)

  • Kausik Chaudhuri

    (Leeds University Business School, UK)

  • Hans Manner

    (University of Graz, Austria)

Abstract

We study spillovers between regional housing markets in the UK in the period 1973 to 2020. The analysis is based on a vector autoregressive model that allows for structural breaks in its parameters at unknown times. In particular, we allow for distinct breakpoints in the conditional mean, variance and correlation parameters, which enables us to distinguish different spillover channels. Based on the resulting piecewise constant model we compute the spillover index by Diebold and Yilmaz. We find significant time variation of the spillover index that indicates a decreasing role of London for the rest of the country, but that also indicates reduced contagion risk and the existence of the North-South divide that declined later in the sample. Furthermore, a central role of the Midlands is demonstrated.

Suggested Citation

  • Dominik Blatt & Kausik Chaudhuri & Hans Manner, 2021. "Spillover in the UK Housing Market," Graz Economics Papers 2021-13, University of Graz, Department of Economics.
    • Handle: RePEc:grz:wpaper:2021-13
    as

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    File URL: https://unipub.uni-graz.at/obvugrveroeff/download/pdf/9638224?originalFilename=true
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    References listed on IDEAS

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    More about this item

    Keywords

    vector autoregression; structural breaks; contagion; spillovers; regional housing markets.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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