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

Author

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  • Juan Carlos Cuestas

    () (Economics and Research Department Eesti Pank (Bank of Estonia) || Department of Finance and Economics Tallinn University of Technology)

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.

Suggested Citation

  • Juan Carlos Cuestas, 2016. "House prices and capital inflows in Spain during the boom: evidence from a cointegrated VAR and a Structural Bayesian VAR," Working Papers 16-11, Asociación Española de Economía y Finanzas Internacionales.
  • Handle: RePEc:aee:wpaper:1611
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    References listed on IDEAS

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    Cited by:

    1. Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "International risk spillover in the sovereign credit markets: An empirical analysis," Working Papers hal-01652526, HAL.

    More about this item

    Keywords

    house prices; capital inflows; leveraging; CVAR; structural Bayesian VAR;

    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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