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Econometric Study of Bubbles in the Russian Real Estate Market
 
PIIS042473880006888-5-1
DOI10.31857/S042473880006888-5
Publication type Article
Status Published
Authors
Alena Galenkova 
Occupation: second-year graduate student
Affiliation: Ural Federal University
Address: Yekaterinburg, Russian Federation
Oleg Mariev
Occupation: Head of the Econometrics and Statistics Department
Affiliation: Ural Federal University
Address: Russian Federation
Mikhail Nikitin
Occupation: third-year postgraduate student
Affiliation: Ural Federal University
Address: Russian Federation
Irina Yunusova
Occupation: second-year graduate student
Affiliation: Ural Federal University
Address: Russian Federation
Journal nameEkonomika i matematicheskie metody
EditionVolume 55 Issue 4
Pages43-56
Abstract

The authors test the real estate markets of Russian regions for the presence of bubbles using Pedroni cointegration test. Following the theoretical criteria of Arshanapalli and Nelson, in the absence of bubbles, the housing price index should be integrated with such fundamental factors of the housing market, as the mortgage rate, prices for construction products, economic activity and well-being of the population. The authors adapt this criterion to use not only for the index, but also for the value approach in rouble and dollar equivalents to determine the presence of bubbles in the primary and secondary residential real estate markets of Russian regions. Based on the test results, it was concluded that price indices in the primary and secondary real estate markets do not correctly reflect the real collapse of the Russian real estate markets in 2008 and that the conjuncture of Russian real estate markets does not depend on the exchange rate. The novelty of the author’s approach consists in combining and expanding existing methods for detecting bubbles in the regional real estate markets. The main result of the study was firstly obtained and empirically proven conclusion that bubbles appeared in the Russian real estate markets and collapsed regardless of the international economic situation.

Keywordsreal estate, real estate markets, Russian regions, real estate market bubbles, modeling, econometric testing, Pedroni test.
AcknowledgmentThe research was supported by a grant from the Russian Science Foundation (Project No. 19-18-00262 "Modeling of balanced technological and socio-economic development of Russian regions").
Received21.10.2019
Publication date16.12.2019
Number of characters30089
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