摘要
In addition to evaluating the long-term and short-term relationships between housing markets on the regional and nationwide scales, this study also explores risk diffusion associated with market integration. Data from January 1995 to July 2017 in nine regions in England and in the overall England housing market are adopted. Through simultaneous estimates of volatility in various regions, the systemic risk and overall risk of each region are evaluated. The results reveal that housing markets in the central regions diffuse risks easily, and their volatility is easily affected by stock market return and money supply changes. By contrast, the volatility of housing markets in the southern regions is easily affected by changes in the interest rate, and these markets demonstrate high transmission with the overall housing market in the short term. Notably, except for times when financial crises occurred, housing market risks in the southern regions have been lower than those of other regions. In particular, London exhibits significantly low risk and high return in its housing market and high informativeness in its house prices. The results of this paper show the patterns and the factors influencing risk diffusion.