How relevant are capital flows for house prices in emerging economies?

Marco Hernandez-Vega ()
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Marco Hernandez-Vega: Banco de Mexico

Review of World Economics (Weltwirtschaftliches Archiv), 2023, vol. 159, issue 4, No 6, 965-986

Abstract: Abstract This work studies the impact of Foreign Direct Investment and portfolio flows on house prices of emerging market economies using a static factors panel VARX model. The results show that an increase in both Foreign Direct Investment and portfolio flows leads to higher house prices but that portfolio flows have a more persistent effect. This work also finds that mortgage credit, as a proxy for residential investment, is an essential variable in house price dynamics because it has a higher positive impact than any of the other endogenous variables. The results are robust to different model specifications, such as adding additional lags or changing the order in which the endogenous variables enter the model.

Keywords: Emerging markets; Capital flows; House prices; PVar (search for similar items in EconPapers)
JEL-codes: C32 E44 F32 G21 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10290-022-00487-w

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