Shock Hunting: Effects of Regional-dependent, Regional-specific Shocks in the Swedish Property Market
2016 (English)In: Housing, Theory and Society, ISSN 1403-6096, E-ISSN 1651-2278, Vol. 33, no 2, 178-194 p.Article in journal (Refereed) PublishedText
The purpose of this paper is to evaluate housing price risks by examining the price diffusion process in different regions of Sweden. We model regional housing volatility as stemming from two sources: regional-specific shocks that reflect fundamental changes and regional-dependent shocks that reflect shocks in related regions. We evaluate the relative contributions of these two sources of regional price variations and measure shock persistence using multivariate modelling. Our results confirm the importance of price diffusion across regions and indicate that several influential regional prices are singled out as powerful determinants of regional heterogeneous volatility through direct and indirect influences.
Place, publisher, year, edition, pages
2016. Vol. 33, no 2, 178-194 p.
Price risk, Information diffusion, Regional-specific shock, Regional-dependent shock, Shock persistence
IdentifiersURN: urn:nbn:se:uu:diva-280918DOI: 10.1080/14036096.2015.1119721ISI: 000369647600003OAI: oai:DiVA.org:uu-280918DiVA: diva2:912297