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

Listed author(s):
  • Juan Carlos Cuestas


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

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.

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Paper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 16-11.

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Length: 22 pages
Date of creation: Nov 2016
Handle: RePEc:aee:wpaper:1611
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