The Swedish Housing Market in an Uncertain World : – A SVAR-based Study on How Macroeconomic and Uncertainty Shocks Affect Housing Prices

Sammanfattning

This paper examines how macroeconomic and uncertainty shocks affect the Swedish housing market during the period 2005-2025. Particular focus is placed on whether different types of uncertainty generate different responses in the housing market, and whether domestic uncertainty shocks affect housing prices differently from global uncertainty shocks. The analysis includes Monetary Policy Uncertainty (MPU), Economic Policy Uncertainty (EPU), Geopolitical Risk (GPR), and financial uncertainty represented by the VIX index and a GARCH-based volatility measure for OMXS30 (referred to as VOMXS30). Using Structural Vector Autoregressive (SVAR) models and Impulse Response Functions (IRFs), this study analyzes how macroeconomic and uncertainty shocks are transmitted to the housing market. The results indicate that uncertainty shocks generally have a negative effect on housing prices, although with varying magnitude and persistence depending on the type and origin of the uncertainty. GPR, and particularly Swedish GPR, appears to generate the strongest and most persistent negative effect, while financial uncertainty appears to generate more short-lived and less consistent effects. The findings suggest that uncertainty shocks may be transmitted through policy rates and financial conditions, while changes in household expectations may constitute an additional mechanism. In addition, the results show that both Swedish and U.S. policy rate shocks generate economically significant and persistent effects on Swedish housing prices, highlighting the importance of monetary policy transmission in the housing market.