Modelling structural change in the UK housing market: A comparison of alternative house price models

Pain, Nigel; Westaway, Peter

doi:10.1016/s0264-9993(97)00007-2

Cited by 53 publications

(39 citation statements)

References 11 publications

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“…Those findings are different from Reichert (1990), Brown et al (1997), Dieleman et al (2000), Abelson (1997), and Voith (1999) which included household income. Household income has also been suggested as a main determinant of housing demand by Pain & Westaway (1997) and Megbolugbe et al, (1991). The reason is that housing is an expensive product, it requires long-term commitment for repayment.…”

Section: Data and Estimated Proceduresmentioning

confidence: 97%

House Price Determinants in Sydney

Ge¹,

Williams²,

Steurer³

2015

22nd Annual European Real Estate Society Conference

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Purpose -This paper aims to study the main determinants of house price increase in Sydney using quarterly data for the period of March 1994 to June 2014. The paper examines whether variables such as population growth, family income, mortgage rate and supply factors that contribute to the changes of Sydney house prices.Design/methodology/approach -The paper uses reduced-form equation for house price function derived on the supply and demand functions for owner-occupied housing (DiPasquale and Wheaton, 1994). Multiple regression analysis is applied to derive the significant variables effect on house prices. Collected time series variables are tested stationary using Augmented Dickey-Fuller test.Findings -Statistical results suggest that the lack of house supply, mortgage rate, and net overseas migration are the main attributes of house price appreciation in Sydney. House prices are largely affected by the price movements from the previous periods. Multiple regression analysis is one of the methods to test causal relationship of house prices with other variables.Research limitations/implications -There are limitations using multiple regression analysis (MRA) One of the difficulties of using MRA is to handle problems with multicollinearity and non-linearity among variables. It is worthwhile to try Vector Autoregressive (VAR) or nonlinear models that may help to solve the problem of building in regression statistics.Practical implications -The findings would suggest that measures to increase of housing supply may help to prevent house price bubble.Originality/value -The research updates the investigation of house price determinants and tests the using of MRA method on the nonlinear variables.

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Section: Data and Estimated Proceduresmentioning

confidence: 97%

House Price Determinants in Sydney

Ge¹,

Williams²,

Steurer³

2015

22nd Annual European Real Estate Society Conference

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“…Accordingly, long run trends in house prices can be explained as a function of economic and demographic factors. Pain and Westaway (1996) demonstrate that a standard consumer optimisation problem over current and future housing and non-housing consumption goods yields the inverted demand curve in period t:…”

Section: Dynamic House Price Responsesmentioning

confidence: 99%

Housing Supply and Price Adjustment

Grimes

Aitken

2006

SSRN Journal

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We analyse two inter-related features of regional housing markets: determinants of new housing supply, and the impact of supply responsiveness on price dynamics. We demonstrate that a suitably specified q-theory model (including residential land values as well as construction costs) explains intended housing starts. Few prior studies have found significant land price effects, due either to their omission or (possibly) to incorrect data definition (use of agricultural rather than residential land values). We examine the interaction of supply responsiveness and price adjustment following demand shocks, using a new panel dataset covering 53 quarters across 73 regions of New Zealand.Regions with high supply responsiveness have relatively small price spikes following demand shocks, consistent with a rational response that limits house price jumps in regions with strong supply responses.JEL classification R21; R31; R38

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“…With respect to the U.K. housing market, most analyses which focus on price formation and house price determinants are based on a theoretical model of house price determinants such as Pain and Westaway (1997) and Muellbauer and Murphy (1997). Other studies, such as the ones conducted by MacDonald and Taylor (1993), Alexander and Barrow (1994) or Ashworth and Parker (1997), among others, analyze long-run relationships and short-run dynamics between the regional house prices in the U.K. as well as macroeconomic variables in the case of Ashworth and Parker (1997).…”

Section: Literature Reviewmentioning

confidence: 99%

How Efficient is the U.K. Housing Market?

Schindler

2010

SSRN Journal

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Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10030.pdf Non-technical SummaryResearch in real estate finance and economics has been dealing with the topic of efficiency in the housing market for over 25 years, mainly for the U.S., Canada, and the U.K. Most recent research on this topic either only examines local markets based on single homes or focuses on structural, sectoral or macro economic methods and models. By contrast, our analysis focuses on univariate analysis, thereby examining the memory of the individual house price series and the information contained in the time series with respect to future house prices. strategy. In general, we can conclude that market participants can use the information which is contained in the time series for their forecast; also, and investors might be likely to earn excess returns by using past information in the U.K. housing market, in particular when short selling or other types of participation in downward-moving markets is allowed and accessible. The identified inefficiencies are much stronger for the southern parts than for the northern parts of the U.K.-II - that investors might be able to obtain excess returns from both autocorrelation-and moving average-based strategies compared to a buy-and-hold strategy for 10 out of 14 markets. Das Wichtigste in Kürze

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Modelling structural change in the UK housing market: A comparison of alternative house price models

Cited by 53 publications

References 11 publications

House Price Determinants in Sydney

House Price Determinants in Sydney

Housing Supply and Price Adjustment

How Efficient is the U.K. Housing Market?

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