The foreign capital inflows and the boom in house prices: time-varying evidence from emerging markets

Baba B., SEVİL G.

Macroeconomics and Finance in Emerging Market Economies, cilt.15, sa.1, ss.1-22, 2022 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 15 Sayı: 1
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1080/17520843.2020.1848896
  • Dergi Adı: Macroeconomics and Finance in Emerging Market Economies
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit
  • Sayfa Sayıları: ss.1-22
  • Anahtar Kelimeler: boom episodes, emerging markets, Foreign capital inflows, house prices, time-varying regression
  • Anadolu Üniversitesi Adresli: Evet

Özet

© 2020 Informa UK Limited, trading as Taylor & Francis Group.This study applies time-varying parameter methods to investigate the association of foreign capital inflows with the occurrence of house price booms in a sample of emerging markets. The time-varying causality tests show evidence of unidirectional as well as bi-directional causality between gross foreign capital inflows and house prices. Furthermore, the upward evolution of the time-varying impact of foreign capital inflows on house prices appears to be mostly related to the distinct episodes of the housing booms as shown by the results of time-varying parameter regression. However, there are instances where the time-varying impact of foreign capital inflows abruptly shifts upward without causing price booms in the housing market. We also find evidence that some components of foreign capital inflows are negatively affecting house prices during the boom episodes.