The Granular Origins of House Price Volatility

Sveriges Riksbank Working Paper No. 349

Riksbank Research Paper Series No. 172

17 Pages Posted: 31 Jan 2018

See all articles by Isaiah Hull

Isaiah Hull

Sveriges Riksbank - Research Division

Conny Olovsson

Sveriges Riksbank

Karl Walentin

Sveriges Riksbank

Andreas Westermark

Sveriges Riksbank

Date Written: December 1, 2017

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 rms.

Keywords: Idiosyncratic Shocks, Great Moderation, Real Estate

JEL Classification: E30, O14, R20

Suggested Citation

Hull, Isaiah and Olovsson, Conny and Walentin, Karl and Westermark, Andreas, The Granular Origins of House Price Volatility (December 1, 2017). Sveriges Riksbank Working Paper No. 349, Riksbank Research Paper Series No. 172, Available at SSRN: https://ssrn.com/abstract=3114521 or http://dx.doi.org/10.2139/ssrn.3114521

Isaiah Hull (Contact Author)

Sveriges Riksbank - Research Division ( email )

S-103 37 Stockholm
Sweden

Conny Olovsson

Sveriges Riksbank ( email )

Brunkebergstorg 11
SE-103 37 Stockholm
Sweden

Karl Walentin

Sveriges Riksbank ( email )

Brunkebergstorg 11
SE-103 37 Stockholm
Sweden

HOME PAGE: http://www.riksbank.com/research/walentin

Andreas Westermark

Sveriges Riksbank ( email )

Brunkebergstorg 11
Stockholm, 10337
Sweden

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