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Bubbles and contagion in English house prices

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  • Fry, J. M.

Abstract

Using methods originating from statistical physics we model bubbles in English house prices. It is found that there was a nationwide housing bubble 2002-2007. Typically prices were 30-40% over-valued and fell around 20%. London is atypical in that the level of over-pricing was lower, only around 20%, and experienced a drop in prices of only around 15%. There is some suggestion of contagious effects, with the bubble in London affecting prices in Yorkshire and the North.

Suggested Citation

  • Fry, J. M., 2009. "Bubbles and contagion in English house prices," MPRA Paper 17687, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:17687
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    References listed on IDEAS

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    Cited by:

    1. Krzysztof Olszewski & Robert Leszczyński, 2013. "Panel analysis of home prices in the primary and secondary market in 17 largest cities in Poland," Chapters from NBP Conference Publications, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski (ed.), Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013, chapter 12, pages 39-71, Narodowy Bank Polski.
    2. Diego Ardila & Peter Cauwels & Dorsa Sanadgol & Didier Sornette, 2013. "Is There A Real Estate Bubble in Switzerland?," Papers 1303.4514, arXiv.org.
    3. Tsai, I-Chun, 2019. "Relationships among regional housing markets: Evidence on adjustments of housing burden," Economic Modelling, Elsevier, vol. 78(C), pages 309-318.
    4. MeiChi Huang, 2014. "Monetary policy implications of housing shift-contagion across regional markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 589-608, October.

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    More about this item

    Keywords

    financial crashes; super-exponential growth; illusion of certainty; contagion; housing-bubble; Enlish house prices;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C0 - Mathematical and Quantitative Methods - - General
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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