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

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  • Cuestas, Juan Carlos

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. 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.

Suggested Citation

  • Cuestas, Juan Carlos, 2017. "House prices and capital inflows in Spain during the boom: Evidence from a cointegrated VAR and a structural Bayesian VAR," Journal of Housing Economics, Elsevier, vol. 37(C), pages 22-28.
    • Handle: RePEc:eee:jhouse:v:37:y:2017:i:c:p:22-28
    DOI: 10.1016/j.jhe.2017.04.002
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    15. Anundsen, André K. & Jansen, Eilev S., 2013. "Self-reinforcing effects between housing prices and credit," Journal of Housing Economics, Elsevier, vol. 22(3), pages 192-212.
    16. Juan Carlos Cuestas & Karsten Staehr, 2017. "The Great Leveraging in the European crisis countries," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 44(6), pages 895-910, November.
    17. Gimeno, Ricardo & Martí­nez-Carrascal, Carmen, 2010. "The relationship between house prices and house purchase loans: The Spanish case," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1849-1855, August.
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    Citations

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    Cited by:

    1. Juan Carlos Cuestas & Merike Kukk, 2019. "Are there asymmetries in the interaction between housing prices and housing credit? Evidence from a country with rapid credit accumulation," Working Papers 2019/06, Economics Department, Universitat Jaume I, Castellón (Spain).
    2. Anastasiou, Dimitrios & Kapopoulos, Panayotis, 2021. "Dynamic linkages among financial stability, house prices and residential investment in Greece," MPRA Paper 107833, University Library of Munich, Germany.
    3. Saker Sabkha & Christian de Peretti & Dorra Mezzez Hmaied, 2019. "International risk spillover in the sovereign credit markets: An empirical analysis," Post-Print hal-01652526, HAL.
    4. Torres-Tellez, Jonathan & Montero Soler, Alberto, 2021. "El precio de la vivienda en España tras el inicio de la crisis económica: un análisis empírico || Housing prices in Spain after the beginning of the financial crisis: An empirical analysis," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 376-391, December.
    5. Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2017. "International risk spillover in the sovereign credit markets: An empirical analysis," Working Papers hal-01652526, HAL.
    6. Juan Carlos Cuestas & Merike Kukk, 2020. "The Spanish housing market: is it fundamentally broken?," Applied Economics Letters, Taylor & Francis Journals, vol. 27(15), pages 1295-1299, September.
    7. Juan Carlos Cuestas & Mercedes Monfort, 2021. "Co-movement between residential and commercial housing prices: evidence from a new database," Applied Economics Letters, Taylor & Francis Journals, vol. 28(5), pages 402-407, March.
    8. Juan Carlos Cuestas & Mercedes Monfort & Javier Ordóñez, 2022. "House prices in Spain: Is it always sunny and warm?," Working Papers 2022/07, Economics Department, Universitat Jaume I, Castellón (Spain).
    9. Benjamin Kwakye & Chan Tze Haw, 2020. "Interplay of the Macroeconomy and Real Estate: Systematic Review of Literature," International Journal of Economics and Financial Issues, Econjournals, vol. 10(5), pages 262-271.
    10. Juan Carlos Cuestas & Luis A. Gil-Alana & María Malmierca, 2022. "Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 50(3), pages 448-463, March.
    11. Jie Wang & Biyu Peng & Xiaohua Xia & Zhu Ma, 2021. "Are Housing Prices Sustainable in 35 Large and Medium-Sized Chinese Cities? A Study Based on the Cheap Talk Game and Dynamic GMM," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
    12. Lyons, Ronan C., 2018. "Credit conditions and the housing price ratio: Evidence from Ireland’s boom and bust," Journal of Housing Economics, Elsevier, vol. 42(C), pages 84-96.

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    More about this item

    Keywords

    House prices; Capital inflows; Leveraging; CVAR; Structural Bayesian VAR;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F15 - International Economics - - Trade - - - Economic Integration

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