Monetary Policy, Capital Inflows, and the Housing Boom

Filipa Sá, Tomasz Wieladek
2011 Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Papers  
We estimate an open economy VAR model to quantify the e¤ect of monetary policy and capital in ‡ows shocks on the US housing market. The shocks are identi...ed with sign restrictions derived from a standard DSGE model. We ...nd that monetary policy shocks have a limited e¤ect on house prices and residential investment. In contrast, capital in ‡ows shocks driven by an increase in foreign savings have a positive and persistent e¤ect on both housing variables. Other sources of capital in ‡ows
more » ... , such as foreign monetary expansion or an increase in aggregate demand in the US, have a more limited role.
doi:10.24149/gwp80 fatcat:ajcxiycwknajbjk4kar3gtwo3u