Home Away from Home? Safe Haven Effects and London House Prices

Ramadorai, Tarun and Badarinza, Cristian (2013) Home Away from Home? Safe Haven Effects and London House Prices. Said Business School. (Unpublished)

Abstract

Historical time-series data is short relative to the frequency of crises. This makes it difficult to use pure time-series methods to identify the impacts of safe haven demand on asset prices, in the face of confounding effects from a wide range of alternative drivers. We present a new method to identify safe-haven effects which relies on combining the cross-section of asset prices with time-series measures of economic and political risk. We employ this strategy on large databases of historical housing transactions in London, and show that economic and political risk in Southern Europe, China, the Middle East, Russia, and South Asia is an important factor in explaining the dynamics of London house prices over the past two decades.

Item Type: Other Working Paper
Keywords: safe-haven, house prices, London, hedonic pricing, political risk, economic risk, finance
Subject(s): Finance
Date Deposited: 20 Jan 2014 10:28
Last Modified: 02 Mar 2017 11:51
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/4948

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