Monetary policy, capital inflows, and the housing boom

Filipa Sa () and Tomasz Wieladek

No 80, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: We estimate an open economy VAR model to quantify the effect of monetary policy and capital inflows shocks on the US housing market. The shocks are identified with sign restrictions derived from a standard DSGE model. We find that monetary policy shocks have a limited effect on house prices and residential investment. In contrast, capital inflows shocks driven by an increase in foreign savings have a positive and persistent effect on both housing variables. Other sources of capital inflows shocks, such as foreign monetary expansion or an increase in aggregate demand in the US, have a more limited role.

Keywords: Monetary policy; Money supply; International finance (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon, nep-opm and nep-ure
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Monetary Policy, Capital Inflows, and the Housing Boom (2011)
Working Paper: Monetary policy, capital inflows and the housing boom (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:80

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