Purpose

The purpose of this paper is to present 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.

Design/methodology/approach

House price bubbles are detected using two approaches: ratios and regression analysis. Two variants of each method are considered. The authors calculate the price-to-rent and price-to-income ratios that can identify a possible overvaluation or undervaluation of house prices. Then, the authors perform regression analyses by considering individual multi-factor models for each city and by using a within regression model with one-way (individual) effects on panel data.

Findings

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 in accordance with economic sense.

Research limitations/implications

The framework described in this paper can serve as a model for the implementation of a tool for detecting house price bubbles in other countries with emerging, small and open economies, due to adjustments for high inflation and significant dependence on reserve currencies that it incorporates.

Practical implications

A tool for measuring fundamental house prices and a bubble indicator for housing markets will be used to monitor the systemic risks stemming from the real estate market. Thus, it will help the National Bank of Ukraine maintain financial stability.

Social implications

The framework presented in this research will contribute to the enhancement of the systemic risk analysis toolkit of the National Bank of Ukraine. Therefore, it will help to prevent or mitigate risks that might originate in the real estate market.

Originality/value

The authors show how to implement an instrument for detecting house price bubbles in Ukraine. This will become important in the context of the after-war reconstruction of Ukraine, with mortgages potentially becoming the main tool for the financing of the rebuilding/renovation of the residential real estate stock.

中文翻译：

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乌克兰房价泡沫检测

目的

本文的目的是提出一个评估乌克兰最大城市房价基本价值的框架，并确定阈值，突破该阈值将预示着泡沫。

设计/方法论/途径

使用两种方法来检测房价泡沫：比率和回归分析。考虑每种方法的两种变体。作者计算了房价与租金和房价与收入的比率，可以识别房价可能高估或低估的情况。然后，作者通过考虑每个城市的单独多因素模型并使用对面板数据具有单向（单独）影响的内部回归模型来进行回归分析。

发现

房价泡沫唯一明显且长期的时期是与全球金融危机同时发生的时期。这些方法产生的泡沫信号平均而言是同时的并且符合经济意义。

研究局限性/影响

本文描述的框架可以作为实施工具的模型，用于检测其他新兴、小型和开放经济体国家的房价泡沫，因为该框架针对高通胀和对储备货币的严重依赖进行了调整。

实际影响

运用房价基本面测度工具和房地产市场泡沫指标监测房地产市场系统性风险。因此，这将有助于乌克兰国家银行维持金融稳定。

社会影响

本研究提出的框架将有助于增强乌克兰国家银行的系统性风险分析工具包。因此，这将有助于预防或减轻房地产市场可能产生的风险。

原创性/价值

作者展示了如何实施一种工具来检测乌克兰的房价泡沫。这在乌克兰战后重建的背景下变得非常重要，抵押贷款有可能成为住宅房地产存量重建/翻新融资的主要工具。