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House Price Bubble Detection in Ukraine

Author

Listed:
  • 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)

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.

Suggested Citation

  • Alona Shmygel & Martin Hoesli, 2022. "House Price Bubble Detection in Ukraine," Swiss Finance Institute Research Paper Series 22-78, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2278
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    More about this item

    Keywords

    house price bubbles; fundamental house prices; mortgage lending; systemic risk; regression analysis; Ukraine.;
    All these keywords.

    JEL classification:

    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
    • R38 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Government Policy

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