House Price Bubble Detection in Ukraine

Alona Shmygel and Martin Hoesli
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Alona Shmygel: National Bank of Ukraine
Martin Hoesli: University of Geneva - Geneva School of Economics and Management (GSEM); Swiss Finance Institute; University of Aberdeen - Business School

No 22-78, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: The purpose of this paper is to build a framework for the assessment of the fundamental value of house prices in the largest Ukrainian cities, as well as to identify the thresholds, the breach of which would signal a bubble. House price bubbles are detected using two approaches: ratios and regression analysis. Two variants of each method are considered. We calculate the price-to-rent and price-to-income ratios that can identify a possible over- or undervaluation of house prices. Then, we perform regression analyses by considering individual multi-factor models for each city and by using a pooled OLS model with panel data. The only pronounced and prolonged period of a house price bubble is the one that coincides with the Global Financial Crisis. The bubble signals produced by these methods are, on average, simultaneous and are in accordance with economic sense.

Keywords: house price bubbles; fundamental house prices; mortgage lending; systemic risk; regression analysis; Ukraine. (search for similar items in EconPapers)
JEL-codes: R31 R38 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2022-10
New Economics Papers: this item is included in nep-cis, nep-fdg and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2278

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