Modelling UK house prices with structural breaks and conditional variance analysis

This paper differs from previous research by examining the existence of structural breaks in the UK regional house prices as well as in the prices of the different property types (flats, terraced, detached and semi-detached houses) in the UK as a whole, motivated by the uncertainty in the UK housing market and various financial events that may lead to structural changes within the housing market. Our paper enhances the conventional unit root tests by allowing for structural breaks, while including structural break tests strengthens our analysis. Our empirical results support the existence of structural breaks in the mean equation in seven out of thirteen regions of the UK as well as in three out of four property types, and in the variance equation in six regions and three property types. In addition, using a multivariate GARCH approach we examine both the behaviour of variances and covariances of the house price returns over time. Our results have significant implications for appropriate economic policy selection and investment management

Spatio-temporal diffusion of residential land prices across Taipei regions

ABSTRACT: Past studies have shown that changes in the house price of a region may transmit to its neighbouring regions. The transmission mechanism may follow spatial and temporal diffusion processes. This paper investigates such regional housing market dynamics and interactions among local housing sub-markets in Taipei. The analysis is based on a panel data framework and spatial panel models using annual data on median residential land prices from 41 Taipei sub-markets over the period from 1992 to 2010. The empirical analysis suggests that spatial dependence plays a significant role in interactions among regional housing markets. The results are strongly robust across several model specifications and regions controlling for time fixed effects and space-time covariance. These findings have significant implications for urban spatial planning and efficient use of public resources in mega-urban areas. JEL CLASSIFICATIONS: C21; C23; R12; H5

US universities’ net returns from patenting and licensing: a quantile regression analysis

Consistent with the rights and incentives provided by the Bayh–Dole Act of 1980, US universities have increased their involvement in patenting and licensing activities through their own technology transfer offices. Only a few US universities are obtaining large returns, however, whereas others are continuing with these activities despite negligible or negative returns. We assess the US universities’ potential to generate returns from licensing activities by modeling and estimating quantiles of the distribution of net licensing returns conditional on some of their structural characteristics. We find limited prospects for public universities without a medical school everywhere in their distribution. Other groups of universities (private, and public with a medical school) can expect better but still fairly modest returns. These findings call into question the appropriateness of the revenue-generating motive for the aggressive rate of patenting and licensing by US universities.This is a working a paper of an article from Economics of Innovation and New Technology 18 (2009): 123, doi: 10.1080/10438590701709025.</p