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作者

来源

URBAN STUDIES,Vol.55,Issue10,P.2286-2299

语言

英文

关键字

Pesaran-Timmermann test; ripple effect; spectral analysis; REGIONAL HOUSE PRICES; LONG-RUN CONVERGENCE; BUSINESS CYCLES; UK; MARKET; PERSPECTIVE; MOVEMENTS; DIFFUSION; DYNAMICS; SYSTEM

作者单位

[Gray, David] Univ Lincoln, Lincoln, England. Gray, D (reprint author), Univ Lincoln, Lincoln Business Sch, Lincoln LN6 7TS, England. E-Mail: dgray@lincoln.ac.uk

摘要

Using a Pesaran-Timmermann test of co-movement, Cook and Watson (Cook S and Watson D, 2015, A new perspective on the ripple effect in the UK housing market: Co-movement, cyclical subsamples and alternative indices. Urban Studies 53(14): 3048-3062) suggest they have highlighted the ripple' effect. Using reference series of the UK, London, Scotland and three deterministic-periodic series, regional prices are shown to have similar cyclical characteristics, with delays based on distance from London. With periodicities consistent with those revealed by spectral analysis, the deterministic-periodic series reference provides a means of establishing cyclical characteristics whilst avoiding issues concerning variable amplitudes. Although a ripple is revealed, using London as a reference poses problems empirically: its cycle is likely to be atypical as well as asynchronised.