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Estimating Structural Shocks in Bulgarian House Prices: A SVAR-Based Historical Decomposition

Author

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  • Ivan Todorov

    (University of National and World Economy, Sofia, Bulgaria)

Abstract

This paper examines the structural drivers of housing prices in Bulgaria from 2002 to 2024 using a Structural VAR model based on the expectations-driven framework with inelastic housing supply and amplified financial sector. Historical decomposition reveals that speculative dynamics and expectation shocks became dominant recently. The findings highlight the increasing role of financial and behavioral channels, alongside fundamentals. The study contributes methodologically by offering the SVAR-based decomposition of housing prices in Bulgaria and emphasizes the need for expectation-sensitive macroprudential policy.

Suggested Citation

  • Ivan Todorov, 2025. "Estimating Structural Shocks in Bulgarian House Prices: A SVAR-Based Historical Decomposition," Godishnik na UNSS, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 93-104, October.
    • Handle: RePEc:nwe:godish:y:2025:i:1:p:93-104
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    File URL: http://unwe-yearbook.org/en/journalissues/article/11741
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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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