House prices and capital inflows in Spain during the boom: evidence from a cointegrated VAR and a Structural Bayesian VAR

Juan Cuestas

No 16-11, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: House prices in Spain escalated rapidly in the run up of the financial crisis. In addition, capital inflows may have influenced the amount of credit available for private use, and in particular for the purchase of real estate. The aim of this paper is to analyse the relationship between foreign capital flows and house prices in Spain. Based on a cointegrated VAR and a structural Bayesian VAR, it is found that both capital inflows and house price shocks have influenced each other in the run up of the Great Moderation.

Keywords: house prices; capital inflows; leveraging; CVAR; structural Bayesian VAR (search for similar items in EconPapers)
JEL-codes: C22 F15 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2016-11
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: House prices and capital inflows in Spain during the boom: Evidence from a cointegrated VAR and a structural Bayesian VAR (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:1611

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