The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom

dc.contributor.authorCepni, Oguzhan
dc.contributor.authorMarfatia, Hardik A.
dc.contributor.authorGupta, Rangan
dc.date.accessioned2025-07-29T10:57:00Z
dc.date.available2025-07-29T10:57:00Z
dc.date.issued2025-02
dc.descriptionDATA AVAILABILITY : The datasets generated and analyzed during the current study are included in this published article and its supplementary data files.
dc.description.abstractThe housing markets in districts across the United Kingdom (UK) co-move over time. We use the dynamic factor model to decompose the co-movement in house prices of the smallest possible geographical unit into national, regional, and idiosyncratic factors. Using the Bayesian time-varying parameter VAR (TVP-VAR) model, we study the dynamic impact of uncertainty shocks on synchronization in housing markets. We find that the estimated national factor accurately tracks the overall housing market cycles in the UK and explains nearly all the variations in East, South–East, and South–West districts. Furthermore, the results from TVP-VAR indicate that the estimated response of the national factor to uncertainty shocks is negative. However, the magnitude of the effect is more pronounced and persists longer in the case of housing price uncertainty shocks compared to overall economic uncertainty. Overall, our results suggest that uncertainty about house prices is a primary driver of the national factor.
dc.description.departmentEconomics
dc.description.librarianhj2025
dc.description.sdgSDG-08: Decent work and economic growth
dc.description.urihttps://www.nature.com/palcomms
dc.identifier.citationCepni, O., Marfatia, H.A. & Gupta, R. The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom. Humanities and Social Sciences Communications 12, 195 (2025). https://doi.org/10.1057/s41599-025-04494-8.
dc.identifier.issn2662-9992 (online)
dc.identifier.other10.1057/s41599-025-04494-8
dc.identifier.urihttp://hdl.handle.net/2263/103661
dc.language.isoen
dc.publisherSpringer Nature
dc.rights© The Author(s) 2025. Open Access. This article is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
dc.subjectTime-varying parameter vector autoregressive (TVP-VAR)
dc.subjectUncertainty
dc.subjectHousing prices
dc.subjectUnited Kingdom (UK)
dc.titleThe time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom
dc.typeArticle

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