Macroeconomic Determinants of BRICS Property Market Returns: A Regime-Switching Approach
Macroeconomic Determinants of BRICS Property Market Returns: A Regime-Switching Approach

Summary/Abstract: Purpose: The aim of the study was to examine the effect of macroeconomic variables on Brazil, Russia, India, China and South Africa’s (BRICS) property market returns under changing market conditions. Design/methodology/approach: The study utilised a Markov regime-switching model for the period February 2011 to June 2025. The dependent variables comprised BRICS’s property market returns, whereas the independent variables consisted of domestic inflation growth rate, gross domestic product growth rate and interest growth rate of each BRICS nation. Findings: The findings revealed that macroeconomic variables have a regime-specific effect on BRICS’s property market returns in bull and bear market conditions. That being said, inflation growth rate had a negative significant effect on Brazil’s, India’s and South Africa’s property returns in a bull market condition, whereas in the bear market condition, only India’s returns were negatively affected. Similarly, gross domestic product (GDP) had a negative significant effect on Russia’s and China’s property returns in a bull market condition, whereas in the bear market condition, the effect was insignificant. In contrast, interest growth rate had only a negative significant effect on South Africa’s and Brazil’s returns in bull and bear market conditions, respectively. The transition probabilities revealed that the bear market condition dominated BRICS property market returns, illustrating that the returns were decreasing across the sample period. Practical implications: Collectively, the study presents important implications for policymakers and investors, such that monetary policy adjustments and investment decisions must factor in the state of the property market, as bull and bear periods dictate the return perspective that influences investors and policymakers’ decisions. Originality/value: The study contributes to the literature by providing a comprehensive asymmetrical analysis of macroeconomic fundamentals’ influence on BRICS’s property market return. Unlike previous studies that focus predominantly on the linear effect, this study highlights the nonlinear perspective between macroeconomic and property market returns, offering nuanced insights for policymakers and investors. Paper type: Research paper

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