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

Author

Listed:
  • Enrico Campos de Mira
  • Wilfredo Leiva Maldonado

Abstract

This research examines the dynamics of commercial real estate prices in the Brazilian market, exploring the potential presence of speculative movements within the real estate market for the period 2012-2023. The study utilizes a conventional present value asset pricing model with a consistent discount factor and employs established bubble tests from the finance literature. These tests encompass assessments for explosive bubbles, periodic bubbles, multiple explosive bubbles and intrinsic bubbles. As a result, this approach allows us to diagnose unsustainable trends in the trajectory of real estate asset prices, should speculative bubbles be detected within the series. Utilizing data from the Fipezap survey provided by the Institute of Economic Research Foundation (FIPE), the study identifies evidence of periods marked by price exuberance, as indicated by the explosive bubble test and the multiple bubble test for some cities and the national price index. However, using the corresponding tests, no evidence of neither periodically collapsing bubbles nor intrinsic bubbles was found across any of the considered cities

Suggested Citation

  • Enrico Campos de Mira & Wilfredo Leiva Maldonado, 2024. "Detecting Bubbles in the Brazilian Commercial Real Estate Market: 2012-2023," Working Papers, Department of Economics 2024_08, University of São Paulo (FEA-USP).
    • Handle: RePEc:spa:wpaper:2024wpecon8
    as

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    File URL: http://www.repec.eae.fea.usp.br/documentos/Mira_Maldonado_08WP.pdf
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    References listed on IDEAS

    as
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    6. Liu, Tengdong & Hammoudeh, Shawkat & Thompson, Mark A., 2013. "A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 99-112.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Real Estate; Speculative Bubbles; Brazilian Empirical Analyses;
    All these keywords.

    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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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