Determinants of Residential Property Prices in Russian Federation

Abstract

The thesis investigates the determinants of apartment prices in Russia. We examined the relationships between quarterly apartment prices in the primary and secondary markets and a wide range of explanatory variables using a het- erogeneous panel of 73 regions from 2005 Q1 to 2019 Q4. Because the variables were co-integrated, the long-run relationships were estimated using a panel dynamic OLS. The short-run dynamic was captured by the error correction model. Wages and construction costs were found to be the core determinants of apartment prices in both the primary and secondary markets. Construc- tion costs were dominant in the primary market and wages in the secondary market. Unemployment, age structure, migration, exchange rate index, and existing apartment area per capita were identified as additional price determi- nants. Negative error correction terms implied that, following a market shock, apartment prices would revert to their long-run equilibria. The sample was then divided into subsets containing wealthy and poor regions to test for ro- bustness. The regression results suggested di erent dynamics in the wealthy regions, but otherwise confirmed the results' robustness. Finally, subperiods were subjected to indicative analysis. However, no significant changes were observed following the 2008...

Tato práce zkoumá determinanty cen byt v Rusku. Analyzovali jsme vztahy mezi tvrtletními cenami byt na primárním a sekundárním trhu a öirokou ökálou vysv tlujících prom nn˝ch. Heterogenní panelov˝ vzorek obsahoval data nap í 73 regiony od 2005 Q1 do 2019 Q4. Protoûe prom nné byly koin- tegrované, pro odhad dlouhodob˝ch vztah byl pouûit panelov˝ dynamick˝ OLS estimátor. Krátkodobá dynamika byla zachycena pomocí modelu korekce chyb. Regrese odhalila, ûe hlavními determinanty cen byt na primárním i sekundárním trhu jsou mzdy a stavební náklady. Stavební náklady p evládaly na primárním trhu a mzdy na sekundárním trhu. Jako dalöí cenové determi- nanty byly identifikovány nezam stnanost, v ková struktura, migrace, index sm nného kurzu a pr m rná podlahová plocha byt na jednoho obyvatele. Zá- porn˝ koeficient korekce chyb nazna oval, ûe po zm n cen byt , v d sledku ekonomick˝ch öok , se jejich v˝öe vrací ke své dlouhodobé rovnováze. Pro ú ely kontroly robustnosti byl vzorek rozd len do podskupin obsahujících bohaté a chudé regiony. V˝sledky regrese nazna ovaly odliönou dynamiku v bohat˝ch regionech, nicmén potvrdily robustnost vybraného modelu. Nakonec byla zk- oumána dynamika cen v r zn˝ch asov˝ch úsecích. Po krizích v letech 2008 a 2014 nebyly vöak pozorovány ûádné v˝znamné zm ny. Klasifikace JEL C23, 018,...