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首页> 外文期刊>The Manchester school >MARKET INTEGRATION AND VOLATILITY TRANSMISSION IN ENGLAND'S HOUSING MARKETS
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MARKET INTEGRATION AND VOLATILITY TRANSMISSION IN ENGLAND'S HOUSING MARKETS

机译：英格兰住房市场的市场集成与波动传播

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摘要

In addition to evaluating the long‐term and short‐term relationships between housing markets on the regional and nationwide scales, this study also explores risk diffusion associated with market integration. Data from January 1995 to July 2017 in nine regions in England and in the overall England housing market are adopted. Through simultaneous estimates of volatility in various regions, the systemic risk and overall risk of each region are evaluated. The results reveal that housing markets in the central regions diffuse risks easily, and their volatility is easily affected by stock market return and money supply changes. By contrast, the volatility of housing markets in the southern regions is easily affected by changes in the interest rate, and these markets demonstrate high transmission with the overall housing market in the short term. Notably, except for times when financial crises occurred, housing market risks in the southern regions have been lower than those of other regions. In particular, London exhibits significantly low risk and high return in its housing market and high informativeness in its house prices. The results of this paper show the patterns and the factors influencing risk diffusion.
机译：除了在区域和全国范围内评估住房市场之间的长期和短期关系外，本研究还探讨了与市场一体化相关的风险扩散。通过1995年1月至2017年7月在英格兰和整体英国住房市场中的九个地区的数据。通过同时估计各个区域的波动率，评估每个区域的全身风险和总体风险。结果表明，中央地区的住房市场容易弥漫风险，并受股票市场返回和货币供应变化的挥发性很容易影响。相比之下，南部地区的住房市场的波动很容易受利率变化的影响，这些市场在短期内与整个房地产市场表现出高速传输。值得注意的是，除了发生金融危机时，南部地区的住房市场风险低于其他地区。特别是，伦敦在其房价上大大低风险和高回报和高度信息。本文的结果显示了影响风险扩散的模式和因素。

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  • 来源
    《The Manchester school》 |2020年第1期|119-155|共37页
  • 作者

    I‐Chun Tsai;

  • 作者单位

    National University of Kaohsiung;

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  • 正文语种 eng
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