The Granular Origins of House Price Volatility
Sveriges Riksbank Working Paper No. 349
17 Pages Posted: 31 Jan 2018
Date Written: December 1, 2017
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: Suggested Citation