Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189949 
Title: 

The granular origins of house price volatility

The document was removed on behalf of the author(s)/ the editor(s).

Year of Publication: 
2017
Series/Report no.: 
Sveriges Riksbank Working Paper Series No. 349
Publisher: 
Sveriges Riksbank, Stockholm
Abstract: 
Recent work has shown that microeconomic shocks at the firm and sector level account for a substantial share of output volatility. We examine whether this relationship holds for house price growth volatility, which also declined during the Great Moderation and increased after 2001. Using a novel dataset of all property transactions in Sweden over the 2009-2017 period, we demonstrate that the following are positively associated with house price growth volatility: 1) the employment, income, and output shares of a volatile sector (manufacturing); 2) employment growth volatility; and 3) exposure to idiosyncratic shocks to firms.
Subjects: 
Idiosyncratic Shocks
Great Moderation
Real Estate
JEL: 
E30
O14
R20
Document Type: 
Working Paper

Files in This Item:
The document was removed on behalf of the author(s)/ the editor(s) on: March 27, 2020


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