Macroeconomic factors of housing prices in Russia

The main household decisions are related to the consumer and housing market, while housing decisions are related to mortgages. Moreover, both markets are significantly influenced by the macroeconomic environment. The paper aims to study the structural relationships between the macroeconomic environment, consumer and housing markets. How do these aspects relate to each other in Russia? To analyze the associations, the Bayesian vector autoregression methodology with sign restrictions is used. The obtained results show that the housing market strongly depends on fluctuations in the consumer market, whereas the inverse dependence is not so strongly manifested. At the same time, the impact of mortgage shocks and monetary conditions has a greater impact on the volume indicators of the consumer and housing markets than on prices. The dynamics of housing prices is more related to the supply of housing, while consumer prices are related to the ruble exchange rate and supply and demand shocks. The impact e of oil prices on the dynamics of both markets is analyzed. Oil prices have the most significant impact on household consumption, mainly through the demand channel. One way of functioning of this channel are the fluctuations of real disposable incomes in response to fluctuations in oil prices. The constructed model built demonstrates acceptable predictive characteristics, outperfoming the best univariate time series models on certain horizons.