Capital Inflows and the U.S. Housing Boom

Filipa Sá and Tomasz Wieladek

Journal of Money, Credit and Banking, 2015, vol. 47, issue S1, 221-256

Abstract: We estimate an open‐economy vector autoregressive (VAR) model to study the effect of capital‐inflow shocks on the U.S. housing market. We look at different external shocks that generate capital inflows to the U.S., in particular “saving‐glut” shocks and foreign monetary‐policy expansions. The shocks are identified with theoretically robust sign restrictions derived from an open‐economy dynamic stochastic general equilibrium (DSGE) model. Our findings suggest that capital inflows that result from “saving‐glut” shocks have a positive and persistent effect on real house prices and real residential investment.

Date: 2015
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https://doi.org/10.1111/jmcb.12200

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:47:y:2015:i:s1:p:221-256

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