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An empirical analysis of the Scottish housing market by property type
Author(s) -
Katsiampa Paraskevi,
Begiazi Kyriaki
Publication year - 2019
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/sjpe.12210
Subject(s) - economics , volatility (finance) , house price , volatility clustering , residential property , unemployment , monetary economics , single family detached home , financial economics , macroeconomics , economic geography , geography , archaeology , autoregressive conditional heteroskedasticity
This paper studies house price dynamics of the different property types in Scotland. We find evidence of i) breakpoints around the recent financial crisis in three property types (flats, terraced, semi‐detached) and in the average house prices, ii) volatility clustering in the detached house prices, with the CGARCH being the optimal volatility model, iii) negative impact of the unemployment and interest rates on house prices irrespective of the property type and positive effect of the CPI in the prices of the detached, terraced and average houses. Our results have significant implications for appropriate economic policy selection and investment management.