Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73086
Authors: 
Tillmann, Peter
Year of Publication: 
2012
Series/Report no.: 
Joint Discussion Paper Series in Economics 15-2012
Abstract: 
The withdrawal of foreign capital from emerging countries at the height of the recent financial crisis and its quick return sparked a debate about the impact of capital flow surges on asset markets. This paper addresses the response of property prices to an inflow of foreign capital. For that purpose we estimate a panel VAR on a set of Asian emerging market economies, for which the waves of inflows were particularly pronounced, and identify capital inflow shocks based on sign restrictions. Our results suggest that capital inflow shocks have a significant effect on the appreciation of house prices and equity prices. Capital inflow shocks account for - roughly - twice the portion of overall house price changes they explain in OECD countries. We also address crosscountry differences in the house price responses to shocks, which are most likely due to differences in the monetary policy response to capital inflows.
Subjects: 
Capital Inflows
House Prices
Monetary Policy
Sign Restrictions
Panel VAR
JEL: 
F32
F41
E32
Document Type: 
Working Paper

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