Firstly, did you employ a surveyor to check the property before you bought it, or did your just rely on the building society doing their own survey. The house may have a damp problem, which may, or may not be serious. If it's a Brand New house, it may just be simply drying out. If it's an older house and your bedroom is on the first floor, you may possibly have a leaky guttering which is causing the exterior brickwork to become damp, which is coming through the walls. Is the room well ventilated?
Any damp problems should be taken seriously as they seldom clear up on their own. As an interim measure, with winter approaching, a small electric fan heater in your bedroom may help to keep the air dry.