Shock Hunting: Effects of Regional-dependent, Regional-specific Shocks in the Swedish Property Market

摘要

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.