Capital inflows and asset prices: evidence from emerging Asia : [Version 4 September 2012]

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 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.
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Metadaten
Author:Peter Tillmann
URN:urn:nbn:de:hebis:30:3-268712
URL:http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/IMFS_WP_58.pdf
Parent Title (German):Working paper series / Institute for Monetary and Financial Stability ; 58
Series (Serial Number):Working Paper Series : Institute for Monetary and Financial Stability (58)
Document Type:Working Paper
Language:English
Year of Completion:2012
Year of first Publication:2012
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2012/11/07
Tag:Capital Inflows; House Prices; Monetary Policy; Panel VAR; Sign Restrictions
Issue:Version 4 September 2012
Institutes: Institute for Monetary and Financial Stability (IMFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:E32 Business Fluctuations; Cycles
F32 Current Account Adjustment; Short-Term Capital Movements
F41 Open Economy Macroeconomics
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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