Detecting Bubbles in the Brazilian Commercial Real Estate Market: 2012-2023

Enrico Campos de Mira and Wilfredo Fernado Leiva Maldonado

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This study delves into the dynamics of commercial real estate prices in Brazil, examining the existence of speculative movements from 2012 to 2023. It employs a traditional present value asset pricing model with a uniform discount factor, alongside recognized finance literature bubble tests. These include evaluations for explosive, periodic, multiple explosive, and intrinsic bubbles, enabling the identification of potentially unsustainable price trends if speculative bubbles emerge. Data from the Fipezap survey, provided by the Institute of Economic Research Foundation (FIPE), highlights instances of price exuberance in certain cities and the national index, as revealed by the explosive and multiple bubble tests. Conversely, no evidence of periodic or intrinsic bubbles was observed across the cities studied.

Keywords: real estate; speculative bubbles; Brazilian empirical analyses (search for similar items in EconPapers)
JEL-codes: C12 C32 G12 R30 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2024-05
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2024-29

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