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Time-Varying and Regional Dynamics in Swiss Housing Markets

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  • Dirk Drechsel
  • Anne Kathrin Funk

Abstract

In light of the strong increase of house prices in Switzerland in the 2000s and early 2010s, we analyze the effects of mortgage rate shocks, changes in housing demand & supply and business cycle conditions on house prices for the time period 1982–2013. We study intertemporal effects by employing Bayesian timevarying coefficients vector autoregressions (TVC-BVAR), regional effects by using regional BVARs and heterogeneity in housing markets by looking at housing segments. 50 % of house price variations can be explained by housing demand & supply. The response of house prices to mortgage rate shocks weakened after the 1990s real estate crisis and remained constant thereafter. However, owneroccupied apartment prices became again more sensitive to mortgage rate shocks during the recent house price boom. Regional effects are especially prevalent for regions Zurich and Geneva.

Suggested Citation

  • Dirk Drechsel & Anne Kathrin Funk, 2017. "Time-Varying and Regional Dynamics in Swiss Housing Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 153(I), pages 37-72, March.
  • Handle: RePEc:ses:arsjes:2017-i-3
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    Cited by:

    1. Joël Vonlanthen, 2023. "Interest rates and real estate prices: a panel study," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-25, December.
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    3. Andrea Baranzini & Stefano Carattini & Linda Tesauro, 2021. "Designing Effective and Acceptable Road Pricing Schemes: Evidence from the Geneva Congestion Charge," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 79(3), pages 417-482, July.
    4. Liu, Lianyi & Wu, Lifeng, 2020. "Predicting housing prices in China based on modified Holt's exponential smoothing incorporating whale optimization algorithm," Socio-Economic Planning Sciences, Elsevier, vol. 72(C).

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    More about this item

    Keywords

    Switzerland; house prices; time-varying BVAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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