Linear and nonlinear causality in the UK housing market: a regional approach

Authors

  • Eleni Kyriazakou
  • Theodore Panagiotidis University of Macedonia

DOI:

https://doi.org/10.17811/ebl.3.4.2014.288-297

Abstract

We examine the causal relationship between 12 UK regional house prices. Our data span from 1983:Q1 to 2012:Q4. The causal linkages both for the first differences and the levels are examined via Granger causality. The former allows us to examine short-run predictability while the latter the long-run. We relax the assumption of linearity and examine nonlinear causality both for the levels and the first differences. We find that long-run causality among the regions is mainly linear while in the short-run is nonlinear. London’s effect on the other regions is found to be mainly nonlinear in the short-run.

Author Biography

Theodore Panagiotidis, University of Macedonia

Theodore Panagiotidis is based on the Department of Economics, University of Macedonia. In the past he held positions in the University of Sheffield, Loughborough University, Brunel University and the London School of Economics. He has published more than 30 articles in refereed journals including Oxford Economics Papers, Economics Letters, Macroeconomic Dynamics, Journal of Forecasting, Review of International Economics, Empirical Economics, Computational Economics, Bulletin of Economic Research, International Journal of Finance and Economics and the Review of Development Economics.

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Published

2014-12-30

How to Cite

Kyriazakou, E., & Panagiotidis, T. (2014). Linear and nonlinear causality in the UK housing market: a regional approach. Economics and Business Letters, 3(4), 288–297. https://doi.org/10.17811/ebl.3.4.2014.288-297