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With the introduction of IFRS9 in 2018 many Bulgarian banks were required to use statistical models for forecasting the liquidation values of houses used as collateral for loans. The nature of estimation of the expected credit loss requires the evaluation of levels of the House Price Index from available statistical data which is, usually, one year old. Several specifications of the models were studied in this study to confirm that the house price index (HPI) is correlated with various indicators, including real-estate market demand, construction industry business cycle, and general macroeconomic environment. The general conclusion was, however, that the two most prominent drivers of HPI remain the interest rates and the internal inertia of the RE market.

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Forecasting Models for the House Price Index in Bulgaria

  • 会议论文

  • 发表日期：

    2025年

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  • Vilislav Boutchaktchiev

摘要

With the introduction of IFRS9 in 2018 many Bulgarian banks were required to use statistical models for forecasting the liquidation values of houses used as collateral for loans. The nature of estimation of the expected credit loss requires the evaluation of levels of the House Price Index from available statistical data which is, usually, one year old. Several specifications of the models were studied in this study to confirm that the house price index (HPI) is correlated with various indicators, including real-estate market demand, construction industry business cycle, and general macroeconomic environment. The general conclusion was, however, that the two most prominent drivers of HPI remain the interest rates and the internal inertia of the RE market.