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Statistical Properties of UK House Prices: An Analysis of Disaggregated Vintages

Department of Economics, University of Wales Swansea, Singleton Park, Swansea, SA2 8PP, UK, S.Cook{at}Swan.ac.uk

Sean Holly

Department of Applied Economics, University of Cambridge, Austin Robinson Building, Sidgwick Avenue, Cambridge, CB3 9DE, UK, sh247{at}econ.cam.ac.uk

The statistical properties of UK house prices are considered at a disaggregated level, where disaggregation occurs according to the age, or 'vintage', of the housing. Given the frequency of transactions in the housing market and the sophistication of the estate agent system, it might be expected that the series would share long-run relationships and be subject to common short-run shocks. It is found via conventional techniques that both the long-run and short-run relationships are less pronounced than might be expected. However, by extending recent research concerning the testing of common features, commonality in the (short-run) cycles of the house price series is uncovered, albeit with a partial lag. Despite this, the cycles are shown to differ in terms of their asymmetric behaviour.

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