| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17751 |
| 来源ID | Working Paper 17751 |
| International Capital Flows and House Prices: Theory and Evidence | |
| Jack Favilukis; David Kohn; Sydney C. Ludvigson; Stijn Van Nieuwerburgh | |
| 发表日期 | 2012-01-12 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | The last fifteen years have been marked by a dramatic boom-bust cycle in real estate prices, accompanied by economically large fluctuations in international capital flows. We argue that changes in international capital flows played, at most, a small role in driving house price movements in this episode and that, instead, the key causal factor was a financial market liberalization and its subsequent reversal. Using observations on credit standards, capital flows, and interest rates, we find that a bank survey measure of credit supply, by itself, explains 53 percent of the quarterly variation in house price growth in the U.S. over the period 1992-2010, while it explains 66 percent over the period since 2000. By contrast, once we control for credit supply, various measures of capital flows, real interest rates, and aggregate activity--collectively--add less than 5% to the fraction of variation explained for these same movements in home values. Credit supply retains its strong marginal explanatory power for house price movements over the period 2002-2010 in a panel of international data, while capital flows have no explanatory power. |
| 主题 | International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w17751 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575425 |
| 推荐引用方式 GB/T 7714 | Jack Favilukis,David Kohn,Sydney C. Ludvigson,et al. International Capital Flows and House Prices: Theory and Evidence. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17751.pdf（442KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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