TY  - UNPD
A1  - Tillmann, Peter
T1  - Capital inflows and asset prices: evidence from emerging Asia : [Version 4 September 2012]
T2  - Working paper series / Institute for Monetary and Financial Stability ; 58
N2  - The withdrawal of foreign capital from emerging countries at the height of the recent financial crisis and its quick return sparked a debate about the impact of capital flow surges on asset markets. This paper addresses the response of property prices to an inflow of foreign capital. For that purpose we estimate a panel VAR on a set of Asian emerging market economies, for which the waves of inflows were particularly pronounced, and identify capital inflow shocks based on sign restrictions. Our results suggest that capital inflow shocks have a significant effect on the appreciation of house prices and equity prices. Capital inflow shocks account for - roughly - twice the portion of overall house price changes they explain in OECD countries. We also address crosscountry differences in the house price responses to shocks, which are most likely due to differences in the monetary policy response to capital inflows.
T3  - Working paper series / Institute for Monetary and Financial Stability - 58 
KW  - Capital Inflows
KW  - House Prices
KW  - Monetary Policy
KW  - Sign Restrictions
KW  - Panel VAR
Y1  - 2012
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/26871
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-268712
UR  - http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/IMFS_WP_58.pdf
IS  - Version 4 September 2012
ER  -