An Examination of Cyclicality…

An Examination of Cyclicality…


Written by:

David Gray

First Published:

14 Jun 2017, 12:00 am

An Examination of Cyclicality…

An application of two non-parametric techniques to the prices of British dwellings: An examination of cyclicality by David Gray


Using a Pesaran-Timmermann test of co-movement, Cook and Watson (Cook S and Watson D, 2015, A new perspective on the ripple effect in the UK housing market: Co-movement, cyclical subsamples and alternative indices. Urban Studies 53(14): 3048–3062) suggest they have highlighted the ‘ripple’ effect. Using reference series of the UK, London, Scotland and three deterministic-periodic series, regional prices are shown to have similar cyclical characteristics, with delays based on distance from London. With periodicities consistent with those revealed by spectral analysis, the deterministic-periodic series reference provides a means of establishing cyclical characteristics whilst avoiding issues concerning variable amplitudes. Although a ripple is revealed, using London as a reference poses problems empirically: its cycle is likely to be atypical as well as asynchronised.

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