Was There a British House Price Bubble? Evidence from a Regional Panel

45 Pages Posted: 5 Jul 2006

See all articles by Gavin Cameron

Gavin Cameron

University of Oxford - Department of Economics (Deceased)

John Muellbauer

University of Oxford - Department of Economics; Centre for Economic Policy Research (CEPR)

Anthony Murphy

University of Oxford - Nuffield Department of Medicine

Date Written: April 2006

Abstract

This paper investigates the bubbles hypothesis with a dynamic panel data model of British regional house prices between 1972 and 2003. The model consists of a system of inverted housing demand equations, incorporating spatial interactions and lags and relevant spatial parameter heterogeneity. The results are data consistent, with plausible long-run solutions and include a full range of explanatory variables. Novel features of the model include transaction cost effects influencing the speed of adjustment, and interaction effects between an index of credit availability and real and nominal interest rates. No evidence for a recent bubble is found.

Keywords: Bubble, ripple effect, house prices

JEL Classification: C5 , E39

Suggested Citation

Cameron, Gavin and Muellbauer, John and Murphy, Anthony, Was There a British House Price Bubble? Evidence from a Regional Panel (April 2006). CEPR Discussion Paper No. 5619, Available at SSRN: https://ssrn.com/abstract=913390

Gavin Cameron

University of Oxford - Department of Economics (Deceased)

N/A

John Muellbauer (Contact Author)

University of Oxford - Department of Economics ( email )

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Centre for Economic Policy Research (CEPR)

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United Kingdom

Anthony Murphy

University of Oxford - Nuffield Department of Medicine ( email )

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Oxford, OX1 1NF
United Kingdom

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