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The Impact of Capital Inflows on Asset Prices in Emerging Asian Economies: Is Too Much Money Chasing Too Little Good?

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  • Soyoung Kim

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  • Doo Yang

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  • Soyoung Kim & Doo Yang, 2011. "The Impact of Capital Inflows on Asset Prices in Emerging Asian Economies: Is Too Much Money Chasing Too Little Good?," Open Economies Review, Springer, vol. 22(2), pages 293-315, April.
  • Handle: RePEc:kap:openec:v:22:y:2011:i:2:p:293-315
    DOI: 10.1007/s11079-009-9124-x
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    References listed on IDEAS

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    1. Jaume Ventura, 2002. "Bubbles and Capital Flows," NBER Working Papers 9304, National Bureau of Economic Research, Inc.
    2. Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel, 1999. "What caused the Asian currency and financial crisis?," Japan and the World Economy, Elsevier, vol. 11(3), pages 305-373, October.
    3. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
    4. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 463-474.
    5. Caballero, Ricardo J. & Krishnamurthy, Arvind, 2006. "Bubbles and capital flow volatility: Causes and risk management," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 35-53, January.
    6. Anna Schwartz, 2003. "Asset price inflation and monetary policy," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(1), pages 1-14, March.
    7. Nicolas Magud & Carmen M. Reinhart, 2007. "Capital Controls: An Evaluation," NBER Chapters,in: Capital Controls and Capital Flows in Emerging Economies: Policies, Practices and Consequences, pages 645-674 National Bureau of Economic Research, Inc.
    8. Nouriel Roubini, 2006. "Why Central Banks Should Burst Bubbles," International Finance, Wiley Blackwell, vol. 9(1), pages 87-107, May.
    9. Mishkin, Frederic S., 1999. "Lessons from the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 709-723, August.
    10. Gilchrist, Simon & Leahy, John V., 2002. "Monetary policy and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 75-97, January.
    11. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148 Elsevier.
    12. Pierre-Richard Agenor & Alexander W. Hoffmaister, 1996. "Capital inflows and the real exchange rate: analytical framework and econometric evidence," Proceedings, Federal Reserve Bank of San Francisco, pages 101-146.
    13. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
    14. Bekaert, G. & Harvey, C. R. & Lumsdaine, R. L., 2002. "The dynamics of emerging market equity flows," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 295-350, June.
    15. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    16. Sims, Christopher A & Uhlig, Harald, 1991. "Understanding Unit Rooters: A Helicopter Tour," Econometrica, Econometric Society, vol. 59(6), pages 1591-1599, November.
    17. Ben S. Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 77-128.
    18. Stephen G. Cecchetti & Hans Genberg & Sushil Wadhwani, 2002. "Asset Prices in a Flexible Inflation Targeting Framework," NBER Working Papers 8970, National Bureau of Economic Research, Inc.
    19. Gavin, William T. & Kemme, David M., 2009. "Using extraneous information to analyze monetary policy in transition economies," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 868-879, September.
    20. Sims, Christopher A. & Zha, Tao, 2006. "Does Monetary Policy Generate Recessions?," Macroeconomic Dynamics, Cambridge University Press, vol. 10(02), pages 231-272, April.
    21. Frederic S. Mishkin, 2001. "The Transmission Mechanism and the Role of Asset Prices in Monetary Policy," NBER Working Papers 8617, National Bureau of Economic Research, Inc.
    22. Soyoung Kim & Sunghyun Henry Kim & Yunjong Wang, 2004. "Macroeconomic Effects of Capital Account Liberalization: the Case of Korea," Review of Development Economics, Wiley Blackwell, vol. 8(4), pages 624-639, November.
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    Citations

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    Cited by:

    1. Fernando Borraz & Gerardo Licandro & Jorge Ponce, 2012. "Precios de viviendas. una metodología para evaluar desvíos respecto a sus fundamentos," Documentos de trabajo 2012016, Banco Central del Uruguay.
    2. Ponomarenko, Alexey, 2013. "Early warning indicators of asset price boom/bust cycles in emerging markets," Emerging Markets Review, Elsevier, vol. 15(C), pages 92-106.
    3. Tng Boon Hwa & Mala Raghavan & Teh Tian Huey, 2017. "Macroeconomic surveillance of portfolio flows and its real effects: Malaysia's experience," IFC Bulletins chapters,in: Bank for International Settlements (ed.), Statistical implications of the new financial landscape, volume 43 Bank for International Settlements.
    4. Soyoung Kim & Yoonbai Kim, 2016. "The RMB Debate: Empirical Analysis on the Effects of Exchange Rate Shocks in China and Japan," The World Economy, Wiley Blackwell, vol. 39(10), pages 1539-1557, October.
    5. Jorge Ponce, 2012. "Precio de fundamentos para las viviendas en Uruguay," Documentos de trabajo 2012017, Banco Central del Uruguay.
    6. Hiroyuki Taguchi & Pravakar Sahoo & Geethanjali Nataraj, 2015. "Capital flows and asset prices: Empirical evidence from emerging and developing economies," International Economics, CEPII research center, issue 141, pages 1-14.
    7. Tillmann, Peter, 2013. "Capital inflows and asset prices: Evidence from emerging Asia," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 717-729.
    8. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
    9. Eduardo Olaberría, 2014. "Capital Inflows and Booms in Asset Prices: Evidence from a Panel of Countries," Central Banking, Analysis, and Economic Policies Book Series,in: Miguel Fuentes D. & Claudio E. Raddatz & Carmen M. Reinhart (ed.), Capital Mobility and Monetary Policy, edition 1, volume 18, chapter 8, pages 255-290 Central Bank of Chile.
    10. Hassan Fereidouni Gholipour & Usama Al-mulali & Abdul Hakim Mohammed, 2014. "Foreign investments in real estate, economic growth and property prices: evidence from OECD countries," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 17(1), pages 33-45, March.
    11. Hwee Kwan Chow & Taojun Xie, 2016. "Are House Prices Driven by Capital Flows? Evidence from Singapore," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-21, February.
    12. Taguchi, Hiroyuki & Tian, Lina, 2017. "Capital flows, money supply and property prices: The case of China," MPRA Paper 80730, University Library of Munich, Germany.
    13. Hassan Fereidouni Gholipour, 2013. "The effect of foreign real estate investments on house prices: evidence from emerging economies," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 17(1), pages 32-43, March.
    14. Jorge Ponce, 2015. "Fundamentals for the Price of Housing in Uruguay," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 175-201, July-Dece.
    15. Deniz Igan & Zhibo Tan, 2017. "Capital Inflows, Credit Growth, and Financial Systems," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(12), pages 2649-2671, December.
    16. Nikolay Hristov & Oliver Hülsewig & Timo Wollmershäuser, 2018. "Capital Flows in the Euro Area and TARGET2 Balances," CESifo Working Paper Series 6877, CESifo Group Munich.

    More about this item

    Keywords

    Capital inflows; Asset prices; Panel VAR; F32; F21; G12;

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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