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A changepoint analysis of UK house price spillovers
We study spillovers between regional housing markets in the UK in the period 1973–2020. 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.
A changepoint analysis of UK house price spillovers
We study spillovers between regional housing markets in the UK in the period 1973–2020. 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.
A changepoint analysis of UK house price spillovers
Blatt, Dominik (author) / Chaudhuri, Kausik (author) / Manner, Hans (author)
Regional Studies ; 57 ; 1223-1238
2023-07-03
16 pages
Article (Journal)
Electronic Resource
Unknown
vector autoregression , structural breaks , contagion , spillovers , regional housing markets , C32 , G01 , R10 , R31
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