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

Author

Listed:
  • Enrico Campos de Mira
  • Wilfredo Fernado Leiva Maldonado

Abstract

This study delves into the dynamics of commercial real estate prices in Brazil, examining the existence of speculative movements from 2012 to 2023. It employs a traditional present value asset pricing model with a uniform discount factor, alongside recognized finance literature bubble tests. These include evaluations for explosive, periodic, multiple explosive, and intrinsic bubbles, enabling the identification of potentially unsustainable price trends if speculative bubbles emerge. Data from the Fipezap survey, provided by the Institute of Economic Research Foundation (FIPE), highlights instances of price exuberance in certain cities and the national index, as revealed by the explosive and multiple bubble tests. Conversely, no evidence of periodic or intrinsic bubbles was observed across the cities studied.

Suggested Citation

  • Enrico Campos de Mira & Wilfredo Fernado Leiva Maldonado, 2024. "Detecting Bubbles in the Brazilian Commercial Real Estate Market: 2012-2023," CAMA Working Papers 2024-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2024-29
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2024-05/29_2024_de_mira_maldonado_0.pdf
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    More about this item

    Keywords

    real estate; speculative bubbles; Brazilian empirical analyses;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • 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
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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