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Table 1: Summary statistics of regional housing price indices
Region
London EAST SE SW EM WM Wales YH NW NE Scotland
Panel A: Raw housing price index
Mean 206.9025 169.6503 182.6677 170.9908 159.8756 148.0992 143.2533 144.7312 137.3908 133.5899 131.3476 Median 133.4903 123.8585 129.7893 120.0965 119.7708 112.0871 103.5885 108.0350 104.4526 102.4292 100.9474 Maximum 610.5968 384.6785 432.9201 390.7877 349.7366 316.6305 320.0378 318.6236 307.8240 294.4709 290.6071 Minimum 21.93434 21.91666 22.08399 21.24192 21.70923 19.13100 22.73384 23.90014 17.99438 20.84695 23.5669 Std. Dev. 161.8412 115.5185 129.7107 122.5907 110.3671 100.3726 98.08965 95.36703 95.47181 89.90084 85.1072 Observations 157 157 157 157 157 157 157 157 157 157 157 Panel B: Log-differenced housing price index
Mean 0.0213 0.0183 0.0191 0.0186 0.0178 0.0179 0.0163 0.0160 0.0176 0.0165 0.0156 Median 0.0215 0.0177 0.0199 0.0201 0.0180 0.0163 0.0114 0.0171 0.0162 0.0150 0.0137 Maximum 0.1115 0.1392 0.1085 0.1503 0.1554 0.1656 0.1432 0.1306 0.1077 0.1259 0.0922 Minimum -0.0640 -0.1023 -0.0626 -0.0747 -0.0617 -0.0566 -0.0937 -0.0804 -0.0601 -0.0713 -0.0706
Std. Dev. 0.0337 0.0368 0.0332 0.0329 0.0319 0.0317 0.0349 0.0353 0.0297 0.0350 0.0280
Observations 156 156 156 156 156 156 156 156 156 156 156
Panel A and Panel B report the summary statistics of raw housing price indices and log-differenced housing price indices from 1976Q1 TO 2015Q1, respectively. EAST is East of England; SE is South-East; SW is South-West; EM is East Midlands; WM is West Midlands; YH is Yorkshire and The Humberside; NW is North-West; and NE is North-East.
Table 2: ADF unit root tests of regional house prices indices
Ln(HPI) ∆Ln(HPI)
(1) (2)
London -6.788874*** -7.228913***
East of England -7.270413*** -7.158123***
South East -5.804777*** -6.124066***
South West -4.129548*** -6.723399***
East Midlands -6.502157*** -5.890577***
West Midlands -7.091988*** -4.737102***
Wales -4.884115*** -5.475566***
Yorkshire and The Humberside -7.284084*** -7.338543***
North West -3.426865*** -6.308013***
North East -4.194346*** -3.982829***
Scotland -9.829876*** -3.968998***
This table reports the results of augmented Dickey-Fullers (ADF) unit root tests of all regional housing price indices (HPI). Logarithmic transformation applies to all housing price indices; First order of difference is further taken on logged housing price indices in column (2). *** stand for significance at the 1% level.
Table 3: Pearson correlation coefficients of housing price index between each region
London EAST SE SW EM WM Wales YH NW NE Scotland
London 1.0000
East of England 0.7440 1.0000
South East 0.8613 0.8537 1.0000
South West 0.7483 0.7964 0.8748 1.0000
East Midlands 0.6702 0.7459 0.7575 0.7410 1.0000
West Midlands 0.6267 0.7132 0.7745 0.8144 0.7948 1.0000
Wales 0.6234 0.5959 0.6561 0.6212 0.7280 0.6825 1.0000
YH 0.5722 0.5766 0.6615 0.6319 0.7723 0.7349 0.7633 1.0000
North West 0.5219 0.5479 0.6165 0.6094 0.6892 0.7135 0.7384 0.7530 1.0000
North East 0.3594 0.4378 0.4483 0.4290 0.5838 0.5444 0.5449 0.6003 0.6470 1.0000
Scotland 0.3929 0.4763 0.4563 0.5215 0.5064 0.5368 0.5077 0.6181 0.6506 0.6661 1.0000
This table reports the Pearson correlation coefficients of housing prices among eleven regions in U.K. EAST is East of England; SE is South-East; SW is South-West; EM is East Midlands; WM is West Midlands; YH is Yorkshire and The Humberside; NW is North-West; and NE is North-East.
Table 4: Descriptives of copula values between each region and London
Region
East and South Midlands and Wales Yorkshire and The Humber, North, and Scotland
EAST SE SW EM WM WALES YH NW NE SCOTLAND
Panel A: Basic information
Mean 0.7476 0.8562 0.7629 0.6861 0.6491 0.6369 0.5901 0.5420 0.3862 0.3860 Median 0.7514 0.8580 0.7656 0.6786 0.6610 0.6646 0.6014 0.5490 0.3465 0.3958 Maximum 0.8823 0.9190 0.8885 0.8104 0.8478 0.8997 0.8371 0.8335 0.7737 0.8651 Minimum 0.5456 0.6698 0.4594 0.5442 0.4558 0.2977 0.2368 -0.0641 -0.0966 -0.2595 Std. Dev. 0.0605 0.0332 0.0661 0.0464 0.0940 0.1668 0.1293 0.1258 0.2331 0.2431 Sum 116.6302 133.5735 119.0110 107.0312 101.2541 99.3571 92.0576 84.5535 60.2500 60.2227 Panel B: Shape of distribution
Skewness -0.6335 -1.5114 -1.5166 0.2170 -0.1136 -0.4964 -0.1819 -1.0913 0.0064 -0.4021 Kurtosis 4.1106 9.2636 7.8997 3.2286 1.9379 2.2009 2.2706 7.1382 1.7166 2.8266 Panel C: Test of normal distribution
Jarque-Bera 18.4521 314.4042 215.8512 1.5636 7.6677 10.5575 4.3188 142.2788 10.7074 4.3993 Probability 0.0001 0.0000 0.0000 0.4576 0.0216 0.0051 0.1154 0.0000 0.0047 0.1108
Observations 156 156 156 156 156 156 156 156 156 156
This table reports the summary statistics of copula values of housing prices between each region and London. EAST is East of England; SE is South-East; SW is South-West;
EM is East Midlands; WM is West Midlands; YH is Yorkshire and The Humberside; NW is North-West; and NE is North-East.
Table 5: Structural breaks test of copula values between each region and London
Region Time points of breaks
East of England No breakpoints
South East No breakpoints
South West No breakpoints
East Midlands No breakpoints
West Midlands No breakpoints
Wales
2008 Q2
Yorkshire and The Humberside No breakpoints
North West No breakpoints
North East No breakpoints
Scotland No breakpoints
This table reports the results of structural breaks test of copula values of housing prices between ten regions and London from 1976Q1 to 2015Q1. The Bai-Perron breakpoints test using sequential L+1 breaks vs. L is used to determine breaks (Bai and Perron, 1998).
Table 6: Determinants of housing correlation coefficients between regions
Ex-post crisis * -0.3137 -0.7624 -0.7624
(0.5942) (0.2741) (0.2741)
Ex-post crisis * 0.1918 0.1171 0.1171
(0.1153) (0.4493) (0.4493)
Ex-post crisis * 0.0461 -0.0725 -0.0725
(0.7545) (0.7202) (0.7202)
Ex-post crisis * -0.5537 -0.0334 -0.0334
(0.4016) (0.9660) (0.9660)
F-statistic 26.1139 21.51945 21.5195
Adj. R2 0.4634 0.42074 0.4207
N 350 340 340
This table reports the results of OLS models regressing the copula values of housing prices between ten regions and London from 1977 to 2011. is the dynamic correlation coefficients between X variable of each region and those of London; UER is unemployment rate; POP is population; CP is construction permits; INCOME is personal income; Ex-post is an indicator variable that equals to one for period from 2009 to 2011, otherwise equals to zero; GDP is gross domestic product; CPI is consumer price index; and MR is interest rate of 5-year fixed rate mortgage. P-value is reported in parentheses; ***, **, and * stand for significance at the 1%, 5%, and 10% levels, respectively.
Table 7: Granger causality tests among copula values of regional economic factors
Dependent variables
(1) (2) (3) (4) (5)
- 6.9410*** 2.2000 0.8616 2.3465
(0.0084) (0.1380) (0.3533) (0.3533) 5.0062** - 0.7320 6.7100*** 3.7266***
(0.0253) (0.3922) (0.0096) (0.0096)
12.6300*** 1.1761 - 3.2392* 0.0066*
(0.0004) (0.2781) (0.0719) (0.0719)
1.9552 3.0691* 1.7717 - 0.8041
(0.1620 ) (0.0798) (0.1832) (0.7676)
2.5229 0.1151 0.0491 0.0873 -
(0.1122) (0.7344) (0.8246) (0.7676)
N 340 340 340 340 340
This table reports the results of VAR(1) Block Exogeneity Wald Tests between copula values of regional economic factors from 1977 to 2011. HPI is housing price index; UER is unemployment rate;
POP is population; CP is construction permits; and INCOME is personal income. Chi-square value is reported, and we report p-value in parentheses. ***, **, and * stand for significance at the 1%, 5%, and 10% levels, respectively.
0 100 200 300 400 500 600 700
Q1 1976 Q1 1981 Q1 1986 Q1 1991 Q1 1996 Q1 2001 Q1 2006 Q1 2011
LONDON EAST SE
SW EM W M
W ALES YH NW
NE SCOTLAND
This figure presents time trends of housing price indices of eleven regions in U.K. from 1976Q1 to 2015Q1. EAST is East of England; SE is South-East; SW is South-West;
EM is East Midlands; WM is West Midlands; YH is Yorkshire and The Humberside; NW is North-West; and NE is North-East.
Figure 1: Time trends of housing prices
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and EAST GDP growth rate
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and SE GDP growth rate
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and SW GDP growth rate
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and EM GDP growth rate
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and WM GDP growth rate
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and WALES GDP growth rate
This figure presents time-series of copula values between ten regions and London from 1976Q1 to 2015Q1. GDP growth rate is marked by dashed line as a comparison.
EAST is East of England; SE is South-East; SW is South-West; EM is East Midlands; WM is West Midlands; YH is Yorkshire and The Humberside; NW is North-West; and NE is North-East.
Figure 2: Time trends of copula values of housing prices between each region and London
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDOn and YH GDP growth rate
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and NW GDP growth rate
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and NE GDP growth rate
-0.25
1980 1985 1990 1995 2000 2005 2010 2015
LONDON and SCOTLAND
GDP growth rate
Figure 2: Continued
Appendix A: AIC and BIC for copula values between each region and London
Gaussian copula Student’s T copula
AIC BIC AIC BIC
LON_EAST -1.31E+02 -1.25E+02 -129.2154 -120.0658 LON_SE -207.6968 -201.5971 -209.8900 -200.7404 LON_SW -142.1756 -136.0761 -140.1635 -131.0139 LON_EM -97.1019 -91.0022 -103.6303 -94.4808 LON_WM -87.3424 -81.2427 -85.67933 -76.5298 LON_WALES -91.7208 -85.6211 -91.2232 -82.0736 LON_YH -66.3574 -60.2577 -71.5368 -62.3872 LON_NW -64.0329 -57.9332 -64.1308 -54.9813 LON_NE -28.3440 -22.2443 -26.8952 -17.7457 LON_SCOTLAND -38.4331 -32.3334 -36.4193 -27.2697 This appendix reports the results of AIC and BIC test for Gaussian and Student’s T copula values between each region and London from 1976Q1 to 2015Q1. LON_EAST is the copula values between London and East of England; LON_SE is the copula values between London and South-East;
LON_SW is the copula values between London and South-West; LON_EM is the copula values between London and East Midlands; LON_WM is the copula values between London and West Midlands; LON_YH is the copula values between London and Yorkshire and The Humberside;
LON_NW is the copula values between London and North-West; and LON_NE is the copula values between London and North-East.