Modelling and Forecasting Property Types’ Price Changes and Correlations within the City of Manchester, UK
الملخص
Most of the research done on real estate markets to date has concentrated
on aggregate real estate price indices and correlations between regional properties
assets. Previous research also shows that the residential real estate market is less
studied compared to commercial real estate despite figures showing huge potential
growth in the residential real estate market. This paper covers residential real estate
markets by property types (flats, terraced, semi-detached, and detached) within the
city of Manchester, UK. The paper covers their time series properties as well as
their correlations. The data period is divided into estimation sample from 1995 to
2011 and forecasting sample from 2011 to 2013.The highest risk per one percent of
return as indicated by the coefficient of variation is for detached properties followed
by terraced, flats and semi-detached properties. Property types correlations show
that the highest correlation is between the most expensive properties, detached and
semi-detached and the next highest correlations are between the less expensive,
terraced and flats due to the close substitution of those property types. The price
decline for detached property took year to show positive price change while for
flats and terraced properties it only took a quarter to show a positive price changes.