Capital Inflow Shocks and House Prices: Aggregate and Regional Evidence from Korea
1
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
Over the course of the recent global financial crisis, emerging economies experienced massive swings in capital inflows. In this paper, we estimate a VAR model to assess the impact of capital inflow shocks, which are identified using a set of sign restrictions, on house prices in Korea. We base the analysis on three alternative measures of capital inflows: net total inflows, net portfolio inflows and gross total inflows. The results suggest that capital inflow shocks have a significantly positive and persistent effect on real house prices. Although shocks to capital inflows are found to be substantially more important for Korean asset markets than for other OECD countries, their overall explanatory power is modest. Using regional house price data we also show that capital inflow shocks have an asymmetric effect on property markets across the seven largest Korean cities and across different parts of Seoul.
Abstract
Over the course of the recent global financial crisis, emerging economies experienced massive swings in capital inflows. In this paper, we estimate a VAR model to assess the impact of capital inflow shocks, which are identified using a set of sign restrictions, on house prices in Korea. We base the analysis on three alternative measures of capital inflows: net total inflows, net portfolio inflows and gross total inflows. The results suggest that capital inflow shocks have a significantly positive and persistent effect on real house prices. Although shocks to capital inflows are found to be substantially more important for Korean asset markets than for other OECD countries, their overall explanatory power is modest. Using regional house price data we also show that capital inflow shocks have an asymmetric effect on property markets across the seven largest Korean cities and across different parts of Seoul.
참고문헌 (42)
- Adam, K., "House price booms and the current account", NBER Macroeconomics Annual 2011, pp.77~122 (2012)
- Aizenman, J., "Current account patterns and national real estate markets", Journal of Urban Economics, 66(2), pp.75~89 (2009)
- Assenmacher-Wesche, K., "Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study" (2008), Goethe-University Frankfurt
- Bernanke, B. S., "Monetary policy and the housing bubble", Annual Meeting of the American Economic Association (2010)
- Global liquidity glut or global savings glut? A structural approach, "Bracke, T.", European Central Bank, ~, pp.ECB Working Paper No. 911 (2008)
- Cardarelli, R., "Capital inflows: macroeconomic implications and policy responses", Economic Systems, 34(4), pp.333~356 (2010)
- Monetary policy transmission and house prices: European cross-country evidence, "Carstensen, K.", Institute for Economic Research at the University of Munich, ~, pp.CESifo Working Paper No. 2750 (2009)
- International spillovers of central bank balance sheet policies, "Chen, Q.", Bank for International Settlements, 230~274, pp.BIS Papers No. 66 (2012)
- Cho, D., "Dynamic relationship between housing values and interest rates in the Korean housing market", Journal of Real Estate Finance and Economics, 32(2), pp.169~184 (2006)
- Chung, K., "Mechanisms to mitigate the adverse effect of capital inflows: Korea’s experience" (2010), Bank of Korea
- Policies for macrofinancial stability: options to deal with real estate booms, "Crowe, C.", International Monetary Fund, ~, pp.IMF Staff Discussion Note SDN (2011), 11[DOI]
- The dynamics of international capital flows: results from a dynamic hierarchical factor model, "Förster, M.", University of Giessen, ~, pp.MAGKS Working Paper No. 21-2012 (2012)
- Capital flow waves: surges, stops, flights and retrenchment, "Forbes, K. J.", National Bureau of Economic Research, ~, pp.NBER Working Paper No. 17351 (2011)
- Fratzscher, M., "Asset prices, exchange rates and the current account", European Economic Review, 54(5), pp.643~658 (2010)
- Quantitative Easing, portfolio choice and international capital flows, "Fratzscher, M.", European Central Bank, ~ (2012)
- Glindro, E. T., "Determinants of house prices in nine Asia-Pacific economies", International Journal of Central Banking, 7(3), pp.163~204 (2011)
- Goodhart, C., "House prices, money, credit, and the macroeconomy", Oxford Review of Economic Policy, 24(1), pp.180~205 (2008)
- Hristov, N., "Loan supply shocks during the financial crisis: evidence for the euro area", Journal of International Money and Finance, 31(3), pp.569~592 (2012)
- Do loan-to-value and debt-to-income limits work? Evidence from Korea, "Igan, D.", International Monetary Fund, ~, pp.IMF Working Paper WP (2011), 11[DOI]
- International capital flows: reliable of fickle?, "IMF", International Monetary Fund, ~ (2011)
- Capital flows to Asia: comparison with previous experience and monetary policy options, "IMF", International Monetary Fund, ~ (2011)
- Jinjarak, Y., "Causality, real estate prices, and the current account", Journal of Macroeconomics, 33(2), pp.233~246 (2011)
- Capital flows and real exchange rates in emerging Asian countries, "Jongwanich, J.", Asian Development Bank, ~, pp.ADB Economics Working Paper Series No. 210 (2010)
- Kannan, R., "Recurring patterns in the run-up to house price busts", Applied Economics Letters, 18(2), pp.107~113 (2011)
- Kim, K.-W., "Housing and the Korean economy", Journal of Housing Economics, 13, pp.321~341 (2004)
- Kim, S., "International capital flows, boom-bust cycles, and business cycle synchronization in the Asia-Pacific region", Contemporary Economic Policy, 31(1), pp.191~211 (2013)
- Kim, S., "Do capital inflows matter to asset prices? The case of Korea", Asian Economic Journal, 23(3), pp.323~348 (2009)
- Kim, S., "The impact of capital inflows on asset prices in emerging Asian economies: is too much money chasing too little good?", Open Economies Review, 22(2), pp.293~315 (2011)
- Kole, L., "The relationship between house prices and the current account", ~ (2009)
- Mallick, S. K., "Real effects of monetary policy in large emerging economies", Macroeconomic Dynamics, 16(2), pp.190~212 (2012)
- Milesi-Ferretti, G. M., "The great retrenchment: international capital flows during the global financial crisis", Economic Policy, 26(66), pp.289~346 (2011)
- Impact of US quantitative easing on emerging Asia, "Morgan, P. J.", Asian Development Bank Institute, ~, pp.ADBI Working Paper No. 321 (2011)
- Managing capital inflows: what tools to use?, "Ostry, J. D.", International Monetary Fund, ~, pp.IMF Staff Discussion Note 11 (2011), 06
- Park, S. W., "Price run-up in housing markets, access to bank lending and house prices in Korea", Journal of Real Estate Finance and Economics, 40(3), pp.332~367 (2010)
- Policy responses to capital flows in emerging markets, "Pradhan, M.", International Monetary Fund, ~, pp.IMF Staff Discussion Note SDN (2011), 11[DOI]
- Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation, "Sá, F.", Bank of England, ~, pp.Working Paper No. 411 (2011)
- Song, J. H., "Comovement of housing business cycle across Korean cities and monetary policy" (2008), Korea Development Institute
- Sailing through this storm? Capital flows in Asia during the crisis, "Tille, C.", Hong Kong Institute for Monetary Research, ~, pp.HKIMR Working Paper No. 20 (2011), 2011
- Tillmann, P., "Capital inflows and asset prices: evidence from emerging Asia", Journal of Banking and Finance, 37(3), pp.717~729 (2013)
- Uhlig, H., "What are the effects of monetary policy on output? Results from an agnostic identification procedure", Journal of Monetary Economics, 52(2), pp.381~419 (2005)
- Vargas-Silva, C., "Monetary policy and the US housing market: a VAR analysis imposing sign restrictions", Journal of Macroeconomics, 30(3), pp.977~990 (2008)
- Zhu, H., "The structure of housing markets and house prices in Asia", BIS Quarterly Review, pp.55~69 (2006), Bank for International Settlements