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Shock Hunting: Effects of Regional-dependent, Regional-specific Shocks in the Swedish Property Market
Tsinghua Univ, Tsinghua Hang Lung Ctr Real Estate Studies, Dept Construct Management, Beijing 100084, Peoples R China..
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Institute for Housing and Urban Research.
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) Published
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Abstract [en]

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.
Keyword [en]
Price risk, Information diffusion, Regional-specific shock, Regional-dependent shock, Shock persistence
National Category
Economic Geography
Identifiers
URN: urn:nbn:se:uu:diva-280918DOI: 10.1080/14036096.2015.1119721ISI: 000369647600003OAI: oai:DiVA.org:uu-280918DiVA: diva2:912297
Available from: 2016-03-16 Created: 2016-03-16 Last updated: 2017-11-30Bibliographically approved

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