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

Arbeitspapier

This work studies the impact of Foreign Direct Investment (FDI) 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 FDI 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 proxy of housing demand, is an important variable in house price dynamics in the sense that it has a higher positive impact on house prices than any of the other endogenous variables included. The results are robust to different specifications of the model, such as adding additional lags or changing the order in which the endogenous variables enter the model.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Papers ; No. 2019-19

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Markets and the Macroeconomy ; Current Account Adjustment; Short-term Capital Movements ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: Emerging Markets ; Capital Flows ; House Prices

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hernández Vega, Marco
• Event: Veröffentlichung
• (who): Banco de México
• (where): Ciudad de México
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/240687
• Last update: 2025-03-10T11:42:50+0100