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A preliminary investigation of northern Ireland's housing market dynamics

Author

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  • Bond, Derek
  • Gallagher, Emer
  • Ramsey, Elaine

Abstract

In this paper recent developments in dynamic econometric methodology are used to explore the possibility of asset bubbles in the Northern Ireland housing market. This market is interesting as its house price trajectory is quite unlike any neighbouring market. In recent years it seems to have been influenced both by the general UK market and the Republic of Ireland's housing market. The dynamics of the market are explored through univariate analysis, using sequential unit root tests and fractional integration. The findings provide an indication of the principle developments in the market and could provide the basis for further causal analysis.

Suggested Citation

  • Bond, Derek & Gallagher, Emer & Ramsey, Elaine, 2012. "A preliminary investigation of northern Ireland's housing market dynamics," MPRA Paper 39806, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:39806
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    References listed on IDEAS

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    More about this item

    Keywords

    House prices; Northern Ireland; Asset Bubbles; Sequential Unit Root tests; fractional integration; fundamental value;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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