Untangling the nonlinear “knots” of UK’s housing prices

Abstract

Purpose Housing prices in the UK offer an inspiring, yet a complex and under-explored research area. The purpose of this paper is to investigate the critical factors that affect UK’s housing prices. Design/methodology/approach The authors utilize the recently developed nonlinear ARDL approach of Shin et al. (2014) over the period 1969–2016. Findings The authors find that both the long-run and short-run impact of the price-to-rent (PTR) ratio and credit-to-GDP ratio on house prices (HP) is asymmetric whilst ambiguous results are established for mortgage rates, industrial production and equities. Apart from the novel framework of analysis, this study also establishes a positive association between HP and the PTR ratio which suggests a speculative behaviour and could imply the formation of a housing bubble. Originality/value It is the first study for the UK housing market that explores the underlying fundamental relationships by looking at nonlinearities hence, allowing HP to be tied by asymmetric relationships in the long as well as in the short run. Modelling the inherent nonlinearities enhances significantly the understanding of UK housing market which can prove useful for policymaking and forecasting purposes.

Exploring the Dynamic Nexus between Cross-Border Dollar Claims and Global Economic Growth

“…It should be stressed that even though the specific methodology takes care of a mixed order of integration, i.e., I(0) and I(1), we have also checked for unit roots to ensure that none of the series is I(2) (Alexiou and Vogiazas 2019). The unit root tests in Appendix A (Table A1) indicated that all other series are integrated of order 1, i.e., I(1).…”

Consumer sentiment and house prices: asymmetric evidence from state-level data in the United States

“…1. Examples of other studies that included income and mortgage rates are: Chen and Patel (ss), Apergis (2003), Apergis and Rezitis (2003), Abelson et al (2005), Gallin (2006), Chen et al (2007), McQuinn and O’Reilly (2008), Rapach and Strauss (2009), Kim and Bhattacharya (2009), Mikhed and Zemcik ( 2009 ), Adams and Fuss (2010), Zhou (2010). Holly et al (2010), Madsen (2012), Apergis et al (2015), Antonakakis et al (2015), Bahmani-Oskooee and Ghodsi (2017), Bahmani-Oskooee and Ghodsi (2018), Baghestani and Viriyavipart (2019), Alexiou and Vogiazas (2019). Alola (2020), De Albuquerquemello and Bessarria (2021) and Cuesta and Kukk (2021).…”