|
Conference publicationsAbstractsXIX conferenceApplication of econometric data analysis for identification of "bubbles" and their dating for real estateInstitute of Control Sciences V. A. Trapeznikov Academy of Sciences Russian Federation, 117997, Moscow, Profsoyuznaya ulitsa, 65 Tel: +7 495 334-89-10, fax: +7 495 334-93-40, +7 499 234-64-26 1 pp. (accepted)APPLICATION OF ECONOMETRIC DATA ANALYSIS FOR IDENTIFICATION OF «BUBBLES» AND THEIR DATING FOR REAL ESTATE The continuous rise in real estate prices in many countries is of growing concern among researchers, which leads to rejection of the current price of the property from its fundamental level and as a consequence of the appearing of «bubble» in the market (under the «bubble» refers to a situation where the difference between the market and the real price of the real estate is unreasonably overstated). Accordingly, in recent years an increasing number of researchers are working to develop effective econometric methods to identify «bubbles» and their dating in real estate. The report presents a model of rational «bubble» based on a model of stock price, which depends on the values of discount rates and dividends [1], and the methods for identification and dating of «bubbles» with this model. If the property price and dividend processes are such that their growth rates are non-stationary processes of the same order of integration and between them there is a long-term stable relationship (cointegration), the «bubbles» in the market is absent [2]. The absence of cointegration is not proof of the existence of «bubbles» [3], which requires a different approach to solving this problem. The report presents a new approach to the problem of identifying the «bubbles» [4], based on behavior change process sale prices of real estate: the transition from the integrated state of the «bubbles» provided that the process of renting real estate prices is not an explosive process. Demonstrate the adequacy of this method to real data on the example of USA real estate market, analyzed the advantages and disadvantages of the new approach and defined the main directions for further research in this area. Литература. 1. Mills, T.C. The Econometric Modelling of Financial Time Series // Cambridge University Press, 1999. 2. Diba B., Grossman H. « Explosive Rational Bubbles in Stock Prices» // American Economic Review 78, 1988, 520–530. 3. Evans G.W. «Pitfalls in Testing for Explosive Bubbles in Asset Prices» // American Economic Review 81, 1990, 922-930. 4. Phillips C.B., Yangru Wu, Jun Ya «Explosive behavior in the 1990 NASDAQ: When did exuberance escalate asset values?» // International economic review, vol.52, № 1, Febr. 2011.
|
