2025-06-08-亚开行-住房市场异质性风险的决定因素和变化证据（英）_40页_657kb

Evidence on the Determinants and Variation of Idiosyncratic Risk in Housing Markets

Authors: Lydia Cheung, Jaqueson K. Galimberti, and Philip Vermeulen
Affiliation: Asian Development Bank (ADB) Economics Working Paper No. 784, June 2025

• Key Findings:

  • Idiosyncratic risk in housing markets is systematic and varies across time, location, initial house price, and holding period.
  • It decreases with longer holding periods and is negatively correlated with higher house prices, but positively associated with risk compensation in excess returns only through variations in house prices and holding periods.
  • Credit conditions (higher interest rates reduce risk; tighter deposit requirements increase risk) and information quality are key determinants, with offsetting effects.
  • Holding period is the most significant factor driving systematic variation in risk.

• Methodology:
  The study uses 1 million repeat sales from New Zealand (1992–2021) to estimate an extended model, controlling for factors like remodeling and regional segmentation. It decomposes idiosyncratic risk and analyzes its determinants through regression analyses.

• Implications:
  Households can mitigate risk by selecting appropriate locations, longer holding periods, and higher-priced houses. Policy interventions, such as macro-prudential regulations and improving information access, can reduce systemic housing risks.