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Spatial Panel Data Analysis of Housing Prices in Russia

Student: Sagimbaeva Alina

Supervisor: Elena V. Semerikova

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2021

This study is dedicated to the analysis of the spatial effect in the residential real estate market in Russia. Empirical testing of the hypothesis that fluctuations in housing prices of one particular Russian region are associated with statistically significant spillover effects of other regions is based on panel data of 78 Russian regions. The set of analyzed variables is constructed on the annual statistical collection “Regions of Russia: socio-economic indicators” (Rosstat) and covers the period from 2002 to 2019. The study also aims to control for the global financial crisis of 2007-2008 and the local crisis of 2014, and unobserved individual regions’ characteristics by applying a fixed-effects model. The spatial effect is shown to be positive and statistically significant on various specifications used: SAR, SDM, SEM. Key words: Russian regions, spatial panel data analysis, real estate prices  

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