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Paper eres2012_160:
Analysing the cyclical co-integration of house price diffusion in Northern Ireland

id eres2012_160
authors Terry Grissom, Michael McCord, Stanley McGreal and David McIlhatton
year 2012
title Analysing the cyclical co-integration of house price diffusion in Northern Ireland
source 19th Annual European Real Estate Society Conference in Edinburgh, Scotland
summary The Northern Ireland (NI) residential housing market witnessed a dramatic speculative boom-bust cycle far beyond that of any other jurisdiction in the United Kingdom. However, there has been limited empirical analysis undertaken to understand the stylised facts of the lead-lag relationships between the distinctive house price cycles within each market sector of the NI market. This paper analyses the cyclical co-movements, interactions and transmission between the different house price typologies within the NI housing market between 1999 and 2011 in an attempt to identify whether any transmittal and endogenous shocks are evident. The results of the cyclical interactions are supplemented to test for directional and causal lead-lag relationship between the house price cycles. Initial findings highlight the complex and highly correlated interaction between and within the different housing sectors, which seemingly appear to increase in the market downturn period. These findings have connotations for both the mortgage lending and valuation communities.
series ERES:conference
type normal paper
email tvg2@uw.edu
content file.pptx (547,458 bytes)
discussion No discussions. Post discussion ...
ratings
session Parallel Session C6
last changed 2014/10/21 21:51
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