The Granular Origins of House Price Volatility
SSRN Electronic Journal(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.
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Key words
granular origins,house
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