Conditional variances in UK regional house prices

The returns of house price indices for the 13 UK regions are modelled using time series processes, including conditional variances. The first conclusion is that the UK follows the USA, with some regions displaying time-varying variances and others with constant variances. Secondly, there is limited evidence of an asymmetric component in six of the seven regions displaying autoregressive conditional heteroskedasticity. Thirdly, the results suggest that there are three distinct housing markets in the UK, based on common structures within their mean and variance processes, and that South West England is the region driving the other time-varying variances. Variances conditionnelles dans les prix regionaux de l'immobilier au Royaume-Uni Resume Les resultats de l'indice des prix de l'immobilier pour les 13 regions du Royaume-Uni sont modelises ici au moyen de procedes de series chronologiques, y compris des variances conditionnelles. La premiere conclusion est que le Royaume-Uni suit les Etats-Unis, certaines regions presentant des variances temporelles, d'autres des variances constantes. Deuxiemement, on releve peu de traces d'un composant asymetrique dans six des sept regions presentant une heteroscedasticite conditionnelle autoregressive. Troisiemement, les resultats indiquent qu'il y aurait trois marches de l'immobilier distincts au Royaume-Uni, sur la base de structures communes dans le cadre de leurs procedes moyens et de variance, et que le sud-ouest de l'Angleterre est la region qui dynamise les autres variances temporelles. Varianzas condicionales en los precios regionales de la vivienda en el Reino Unido Extracto Las cifras de los indices de precios de la vivienda en 13 regiones del Reino Unido se modelan utilizando procesos de series temporales, incluyendo varianzas condicionales. La primera conclusion es que el Reino Unido sigue a los EE UU, con varias regiones que muestran varianzas fluctuantes con el tiempo y otras con varianzas constantes. En segundo lugar, existe evidencia limitada de un componente asimetrico en seis de las siete regiones que muestran una heteroesquedacidad condicional autorregresiva. En tercer lugar, los resultados sugieren que existen tres mercados distintivos de la vivienda en el Reino Unido, basados en estructuras comunes dentro de sus procesos de media y varianza, y que el sudoeste de Inglaterra es la region que dirige las otras varianzas fluctuantes con el tiemp

Synchronisation and commonalities in metropolitan housing market cycles

This paper examines the degree of commonalities present in the cyclical behavior of the eight largest metropolitan housing markets in Australia. Using two techniques originally in the business cycle literature we consider the degree of synchronization present and secondly decompose the series’ into their permanent and cyclical components. Both empirical approaches reveal similar results. Sydney and Melbourne are closely related to each other and are relatively segmented from the smaller metropolitan areas. In contrast, there is substantial evidence of commonalities in the cyclical behavior of the remaining cities, especially those on the Eastern and Southern coasts of Australia

Affordability targets: Implications for Housing Supply

This report presents the results of an econometric modelling project, concerned with regional housing affordability, conducted for the ODPM between November 2004 and April 2005. The key outputs of the project are not just this report, but the model itself, the details of which are set out in the accompanying Technical Appendix, available via the ODPM website: www.odpm.gov.uk/housing. The team for the project was large, including fifteen individuals from nine organisations. The project was directed from the University of Reading. In addition to the team, the work was improved by help from an advisory group and a user group, consisting of members drawn from both central government and from the wider academic and policy communities

The potential impact of reforms to the essential parameters of the council tax

Council Tax was introduced in Britain in 1993 and represents a unique international property tax. There is a growing belief that it is time to reform the number and structure of council tax bands but such views have a minimal empirical base. This paper sets out to assess the impact on personal and local government finances, and extends the analysis to the role of the tax multipliers linked to each band. The research is based on the experience of a representative sample of local authorities in Scotland. A statistical revaluation for 2000 is estimated for the existing eight band system, and from this base a ten band system is calculated. Financial implications are then simulated for each local authority taking account of central resource equalisation mechanisms. The results indicate that increases in bands will have little impact on the burden of the council tax compared with regular revaluations. Changing the tax multiplier range has the greatest impact on local authority finances and council tax payments

Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries

This is the peer reviewed version of the following article: CAPORALE, G.M., SOUSA, R.M. and WOHAR, M.E., 2016. Can the consumption-wealth ratio predict housing returns? Evidence from OECD countries. Real Estate Economics, In Press. which has been published in final form at http://dx.doi.org/10.1111/1540-6229.12135. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.©2016 American Real Estate and Urban Economics Association We use a representative consumer model to analyze the relation between the transitory deviations of consumption from its common trend with aggregate wealth and labor income, cay, and the housing risk premium. The evidence based on data for 15 OECD countries shows that, if financial and housing assets are seen as complements, investors will temporarily allow consumption to rise when they expect a rise in future housing returns. By contrast, if housing assets are treated as substitutes for financial assets, consumption will be reduced

‘Stop-go’ policy and the restriction of post-war British house-building

From the mid-1950s to the early 1980s the Treasury and Bank of England successfully advocated a policy of restricting both private and public sector house-building, as a key but covert instrument of their wider ‘stop-go’ macroeconomic policy framework. While the intensity of restrictions varied over the economic cycle, private house-building was restricted (through limiting mortgage availability) for almost all this period. This was achieved by keeping building society interest rates low relative to other interest rates and thus starving the building society movement of mortgage funds. Mortgage restriction was never publicly discussed and sometimes operated alongside ambitious housing targets and well-publicised policy initiatives to boost housing demand. This paper outlines the evolution of house-building restriction, together with its impacts on the housing sector and the wider economy. We review the evolution of the policy framework and its consequences, compare the level and stability of British house-building during this period - historically and relative to other countries, and undertake time-series econometric analysis of its impacts on both house-building and house prices. Finally, implications for debates regarding stop-go policy, Britain’s housing problem, and the distributional consequences of government macroeconomic policy are discussed