Aggregate and regional house price to earnings ratio dynamics in the UK

Andros Gregoriou; Alexandros Kontonikas; Alberto Montagnoli

doi:10.1177/0042098013506063

Aggregate and regional house price to earnings ratio dynamics in the UK

Andros Gregoriou, Alexandros Kontonikas, Alberto Montagnoli

University of Brighton

Research output: Contribution to journal › Article › peer-review

Abstract

This paper examines the time-series properties of house price to earnings ratio (HPER) in the UK using aggregate and regional data. Specifically, we utilise a series of unit root tests to examine the null hypothesis of nonstationary HPERs. These include linear tests as well as a nonlinear test and also a test which accounts for abrupt structural change. The results are against the notion of stationary HPERs. This implies that house prices may permanently diverge from earnings.

Original language	English
Journal	Urban Studies
Volume	51
Issue number	13
DOIs	https://doi.org/10.1177/0042098013506063
Publication status	Published - 26 Sept 2013

Keywords

economics
housing
methods
time series
unit root test

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10.1177/0042098013506063Licence: Unspecified

Cite this

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title = "Aggregate and regional house price to earnings ratio dynamics in the UK",

abstract = "This paper examines the time-series properties of house price to earnings ratio (HPER) in the UK using aggregate and regional data. Specifically, we utilise a series of unit root tests to examine the null hypothesis of nonstationary HPERs. These include linear tests as well as a nonlinear test and also a test which accounts for abrupt structural change. The results are against the notion of stationary HPERs. This implies that house prices may permanently diverge from earnings.",

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AB - This paper examines the time-series properties of house price to earnings ratio (HPER) in the UK using aggregate and regional data. Specifically, we utilise a series of unit root tests to examine the null hypothesis of nonstationary HPERs. These include linear tests as well as a nonlinear test and also a test which accounts for abrupt structural change. The results are against the notion of stationary HPERs. This implies that house prices may permanently diverge from earnings.

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KW - housing

KW - methods

KW - time series

KW - unit root test

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Aggregate and regional house price to earnings ratio dynamics in the UK

Abstract

Keywords

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