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Essays on Housing Markets and Financial Shocks: Energy Efficiency, Dependence, and Dynamics
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2024 (English)Doctoral thesis, comprehensive summary (Other academic)Alternative title
Uppsatser om bostadsmarknader och finansiella chocker : Energieffektivitet, beroende och dynamik (Swedish)
Abstract [en]

There are two important lessons to be learned from the global financial crisis of 2007-2009. First, it emphasized the importance of understanding the driving forces behind housing markets and their linkages with other economic sectors. Second, it demonstrated how shocks originating in financial markets can impact the overall economy. This thesis aims to provide new empirical insights into the complex dynamics and drivers of housing markets, and to understand how financial fluctuations can affect the Swedish macroeconomy.   

Throughout this thesis, the theme of heterogeneity has been thoroughly explored. For example, most chapters focus on how different regions and sectors are affected by macroeconomic variables or shocks. My aim has also been to examine the effects on different housing types and explore outcomes for variables that have previously received limited attention in the literature. The thesis consists of five separate chapters/articles that deal with various aspects related to the housing market or how financial shocks affect the macroeconomy.  

In the first chapter, the relationships between prices of energy commodities (oil, coal, and natural gas) and nine regional housing markets in the USA are examined. Instead of only examining the relationship between oil prices and the housing market, the study expands the literature by including additional energy commodities. Additionally, the study uses methods aimed at measuring not only linear but also non-linear relationships.  

In the second chapter, we investigate the effect of energy efficiency on the sale price of tenant-owned apartments in Sweden. Despite numerous studies examining how energy efficiency affects the sale prices of single-family houses, no previous study has focused solely on tenant-owned apartments. The results show mixed effects of energy efficiency. The study indicates that there is a need for more targeted measures if the goal is to fully integrate energy efficiency into prices of tenant-owned apartments.   

In the third chapter, a Panel VAR (Vector Autoregression) with interaction variables (IPVAR) is used to analyze how institutional factors, related to rental market size and regulations, can explain the response of housing markets in different countries to macroeconomic shocks.  

In the fourth chapter, structural VAR models (Bayesian and factor-augmented) are used to provide a comprehensive overview of how financial shocks affect the Swedish labor market. Instead of only focusing on how financial shocks affect the labor market at the national level, the study also examines the effects on regions and sectors. The results suggest a significant variation in response across different sectors and regions. 

In the fifth chapter, just like in the fourth, VAR models are used to investigate how financial shocks affect the Swedish housing market at both national and regional levels. The analysis reveals that financial shocks tend to affect prices more than housing starts and building permits. From the regional analysis, it is found that house prices in some areas are more sensitive to financial shocks than others. Prices in areas with inelastic supply react more strongly than those in elastic areas, although this result is highly dependent on the model specification. 

Abstract [sv]

Den globala finanskrisen 2007–2009 har gett oss två viktiga lärdomar. Först och främst belyste krisen hur viktigt det är att förstå bostadsmarknaders drivkrafter och dess kopplingar till andra ekonomiska sektorer. För det andra visade finanskrisen hur störningar som uppstår på finansmarknaderna kan påverka resterande delar av ekonomin. Denna avhandling syftar till att ge nya empiriska insikter kring den komplexa dynamik och de drivkrafter som är associerade med bostadsmarknader. Avhandlingen syftar också till att skapa mer förståelse för hur finansiella fluktuationer kan påverka den svenska makroekonomin.   

Avhandlingen kan anses karaktäriseras av begreppet heterogenitet. Till exempel har flera kapitel fokuserat på hur olika regioner och sektorer påverkats av makroekonomiska variabler och/eller chocker. I studierna undersöks också effekten på olika bostadstyper, samt så belyses utfall hos variabler som tidigare fått begränsad uppmärksamhet i litteraturen. Avhandlingen består av fem separata kapitel/artiklar som behandlar olika aspekter relaterade till bostadsmarknaden eller hur finansiella chocker påverkar makroekonomin.  

I det första kapitlet studeras sambandet mellan priser på energiråvaror (olja, kol och naturgas) och nio regionala bostadsmarknader i USA. Istället för att endast undersöka sambandet mellan oljepriset och bostadsmarknaden, så adderar studien till litteraturen genom att inkludera ytterligare energiråvaror.  I studien används metoder som syftar till att mäta icke-linjära samband.    

I det andra kapitlet undersöker vi effekten av energieffektivitet på försäljningspriset för bostadsrätter i Sverige. Trots ett omfattande antal studier om hur energieffektivitet påverkar försäljningspriset för villor, så har ingen tidigare studie enbart fokuserat på bostadsrätter. Resultaten visar blandade effekter av energieffektivitet på försäljningspriser. Studien indikerar att det kan finnas ett behov av mer riktade åtgärder, om målet är att bostadsköpare ska beakta energieffektivitet vid köp av bostadsrätter.   

I det tredje kapitlet används en Panel VAR (Panel Vector Autoregression) med interaktionsvariabler (IPVAR) för att analysera om institutionella faktorer, d.v.s. storleken på hyresmarknaden och hyresmarknadsregleringar, kan förklara hur bostadsmarknader i olika länder reagerar på makroekonomiska chocker.

I det fjärde kapitlet används strukturella VAR-modeller (Bayesianska och faktor-augmenterade) i syfte att ge en omfattande översikt över hur finansiella chocker påverkar den svenska arbetsmarknaden. Istället för att endast fokusera på hur finansiella chocker påverkar arbetsmarknaden på nationell nivå, så undersöker studien även effekterna på regioner och sektorer. Resultaten tyder på en omfattande variation i respons inom olika sektorer och mellan regioner.     

I det femte kapitlet används, precis som i det fjärde, VAR-modeller i syfte att undersöka hur finansiella chocker påverkar den svenska bostadsmarknaden (på nationell samt regional nivå). Studien finner att finansiella chocker tenderar att påverka bostadspriser mer än påbörjad byggnation av nya bostäder eller bygglov. Från den regionala analysen indikerar resultaten att huspriser i vissa områden är mer känsliga för finansiella chocker än andra. Priser i områden med oelastiskt utbud reagerar starkare än de i elastiska områden, även om detta fynd är högst beroende av hur VAR-modellen är specificerad.    

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2024. , p. 10
Series
Linköping Studies in Arts and Sciences, ISSN 0282-9800 ; 885
Keywords [en]
Housing market, Financial shocks, VAR models
Keywords [sv]
Bostadsmarknaden, Finansiella chocker, VAR-modeller
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-203625ISBN: 9789180756969 (print)ISBN: 9789180756976 (electronic)OAI: oai:DiVA.org:liu-203625DiVA, id: diva2:1859164
Public defence
2024-08-23, ACAS, A-building, Campus Valla, Linköping, 13:15 (English)
Opponent
Supervisors
Note

Funding: Swedish Energy Agency

Available from: 2024-05-21 Created: 2024-05-21 Last updated: 2024-05-21Bibliographically approved
List of papers
1. Nonlinear tail dependence between the housing and energy markets
Open this publication in new window or tab >>Nonlinear tail dependence between the housing and energy markets
Show others...
2022 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 106, article id 105771Article in journal (Refereed) Published
Abstract [en]

This paper examines the quantile dependence between energy commodities (oil, coal, and natural gas) and the real housing returns of the nine US census divisions for the period 1991-2019. In contrast to the literature on the association between oil and housing markets, we contribute by studying the effect of additional commodities on the housing market returns. We use a cross-quantilogram and quantile regression approach and find regional variation in the impact of energy commodities on housing returns. The effect within the same region varies over the quantile distributions. In general, we observe that all energy commodities are negatively associated with real housing returns. Significant correlations are found more often when the oil and housing returns are in similar quantiles. Coal and natural gas show a stronger relationship with higher quantiles of housing returns. Further, the results for coal and natural gas remains relatively stable after controlling for macroeconomic variables.

Place, publisher, year, edition, pages
Elsevier, 2022
Keywords
Housing market; Oil; Coal; Natural gas; Tail-dependence; Cross-quantilogram
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-183786 (URN)10.1016/j.eneco.2021.105771 (DOI)000762555300011 ()
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundations, Sweden [W2016:0364:1]; Swedish Energy AgencySwedish Energy AgencyMaterials & Energy Research Center (MERC); Ministry of Education of Japan (MEXT)

Available from: 2022-03-25 Created: 2022-03-25 Last updated: 2024-05-21
2. Does energy efficiency matter for prices of tenant-owned apartments?
Open this publication in new window or tab >>Does energy efficiency matter for prices of tenant-owned apartments?
2022 (English)In: Environmental Science and Pollution Research, ISSN 0944-1344, E-ISSN 1614-7499, Vol. 29, p. 66793-66807Article in journal (Refereed) Published
Abstract [en]

In this study, we use Energy Performance Certificate (EPC) information to investigate the effect of energy efficiency on the selling price of Swedish tenant-owned apartments. While there is a large body of literature on how energy efficiency affects the sales price of single-family houses, none has exclusively focused on tenant-owned apartments. For owners of tenant-owned apartments in Sweden, heating is for a large share included in the monthly fee paid to the tenant association, which usually does not change on a short-term basis. This raises the question whether homebuyers incentives for acquiring energy-efficient tenant-owned apartments are large enough to be capitalized into the prices. By hedonic models and matching methods, we found mixed results. In our most optimistic scenarios, tenant-owned apartments enclosed in energy-efficient buildings are sold with a premium of approximately 0.8 to 1.2% compared to apartments in non-efficient buildings. The results in this study are not robust to all model specifications and vary across regions. In comparison with recent studies using data for single-family houses in Sweden, our detected capitalization is smaller. Our results highlight a need for targeted measures if EPCs are to be fully capitalized in prices for all dwelling types in which buyers have different economic incentives for reducing their energy consumption.

Place, publisher, year, edition, pages
Springer Heidelberg, 2022
Keywords
Energy performance certificates; Housing markets; Tenant-owned apartments; Energy efficiency; Green premium
National Category
Other Environmental Engineering
Identifiers
urn:nbn:se:liu:diva-185277 (URN)10.1007/s11356-022-20482-w (DOI)000790632500017 ()35508850 (PubMedID)
Note

Funding Agencies|Linkoping University - Swedish Energy Agency [46898-1]

Available from: 2022-05-25 Created: 2022-05-25 Last updated: 2024-05-21Bibliographically approved
3. Rental market structure and housing dynamics: An interacted panel VAR investigation
Open this publication in new window or tab >>Rental market structure and housing dynamics: An interacted panel VAR investigation
2024 (English)In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158Article in journal (Refereed) Epub ahead of print
Abstract [en]

This article uses the interacted panel VAR method to analyse how institutional factors related to the structure of the housing market explain cross-country heterogeneity in responses to macroeconomic shocks. While the previous literature focused on the stabilizing role of the mortgage market, we argue that housing tenure structure also plays an important role. In the baseline, we use data for nine OECD members to investigate how the size and regulations of the rental market affect the response of the housing market to interest rate shocks. As a reference, we also conduct a similar analysis with the mortgage market structure as the institutional factor. We find that both the rental market size and maximum loan-to-value ratios are important in explaining heterogeneity of housing market responses to macroeconomic shocks.

Place, publisher, year, edition, pages
WILEY, 2024
Keywords
housing dynamics; impulse response function; monetary policy shock; panel data; rental market structure; vector autoregression
National Category
Business Administration
Identifiers
urn:nbn:se:liu:diva-200939 (URN)10.1002/ijfe.2937 (DOI)001156626600001 ()
Available from: 2024-02-20 Created: 2024-02-20 Last updated: 2024-05-21

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12345671 of 11
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