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Spatial and Temporal Diffusion of Property Prices across British Regions

ФИО студента: Salov Anton

Руководитель: Elena V. Semerikova

Кампус/факультет: Faculty of Economic Sciences

Программа: Economics: Research Programme (Master)

Год защиты: 2021

I investigate spatial and temporal diffusion of house prices across British regions exploiting two models that is motivated by the fact that data come from different sources (UK HPI and NBS datasets) interpreting conclusions obtained from each empirical method as complementary. Moreover, this analysis is complemented by LISA maps mirroring bivariate local Moran statistics. I utilise GVAR approach and spatial-temporal diffusion model to certify the presence of ripple effect in property prices. Applying the GVAR approach to monthly data on real estate prices and sales extracted from the UK HPI dataset, I find evidence of some heterogeneity in responses depending on the shock. Geographic proximity to London appears to play some role in the magnitude of magnitude of house price spillovers emanating in London housing market. Estimation of the spatial-temporal diffusion model using quarterly price data retrieved from the NBS dataset confirms the above mentioned conclusion. Furthermore, LISA maps also indicate the presence of ripple effect in house prices, whose movement once emerging in the London market spreads to adjacent areas over time. The exception to such a picture is the impact of the real estate market in Northern Ireland on the northern regions of the UK, including Scotland, the north of England and partly Wales. The rapid rise in property prices in Ireland, and then the collapse of the overheated market in 2008 largely explains the dynamics of house prices in the northern regions of the UK.

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