Analysis of the dynamics and modeling of housing price indices in Bulgaria and other EU countries

Housing prices as a factor that greatly affects the welfare of the population are of interest to many researchers. After the significant decline in housing prices following the 2008 global financial and economic crisis, a prolonged period of growth followed.The accelerated growth rates observed in recent years prompt us to consider whether this trend is also evident in other European countries. The present study of the dynamics of house price indices aims to address this question by conducting a comparative analysis of 28 European countries, 26 of which are EU member states.Based on established similarity, the countries are divided into six groups. In the analysis, the dynamics of housing prices are compared with those of consumer prices, incomes and rents. At the next stage, the house price indices are modeled and forecasted with ARIMA models with outliers and ARFIMA models. The existence of long memory in the change of house price indices is tested and found in all the countries considered, except for Lithuania. Comparing the estimates of the long memory parameter allows us to identify the countries where house price shocks decay more slowly over time compared to other countries.