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The spatial and temporal diffusion of house prices in the UK

Authors :
Sean Holly
Takashi Yamagata
M. Hashem Pesaran
Source :
Journal of Urban Economics. 69:2-23
Publication Year :
2011
Publisher :
Elsevier BV, 2011.

Abstract

This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect. Shocks to a dominant region – London – are propagated contemporaneously and spatially to other regions. They in turn impact on other regions with a delay. We allow for lagged effects to echo back to the dominant region. London in turn is influenced by international developments through its link to New York and other financial centers. It is shown that New York house prices have a direct effect on London house prices. We analyse the effect of shocks using generalised spatio-temporal impulse responses. These highlight the diffusion of shocks both over time (as with the conventional impulse responses) and over space.

Details

ISSN :
00941190
Volume :
69
Database :
OpenAIRE
Journal :
Journal of Urban Economics
Accession number :
edsair.doi...........f3a70c10823b9a71acccc6df1ddc29b3
Full Text :
https://doi.org/10.1016/j.jue.2010.08.002