Current account dynamics and the housing cycle in Spain
We investigate the negative correlation between housing markets and the current account in a monetary union, using the Spanish economy as an illustrative example. By employing robust sign restrictions, which we derive from a DSGE model for a currency union, we analyze the effects of Spanish pull and...
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| Hauptverfasser: | , , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
30 May 2018
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| In: |
Journal of international money and finance
Year: 2018, Jahrgang: 87, Pages: 22-43 |
| ISSN: | 0261-5606 |
| DOI: | 10.1016/j.jimonfin.2018.05.007 |
| Online-Zugang: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1016/j.jimonfin.2018.05.007 Verlag, lizenzpflichtig, Volltext: https://www.sciencedirect.com/science/article/pii/S0261560618303267 
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| Verfasserangaben: | Daniel Maas, Eric Mayer, Sebastian K. Rüth |
| Zusammenfassung: | We investigate the negative correlation between housing markets and the current account in a monetary union, using the Spanish economy as an illustrative example. By employing robust sign restrictions, which we derive from a DSGE model for a currency union, we analyze the effects of Spanish pull and Eurozone push factors in a mixed-frequency VAR framework. Savings glut, risk premium, and housing bubble shocks are capable of generating the negative co-movement of housing markets and the current account in the data. In contrast—and counterfactual to the housing boom—financial easing shocks in Spain predict a decline in both residential investment and house prices. |
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| Beschreibung: | Gesehen am 01.03.2021 |
| Beschreibung: | Online Resource |
| ISSN: | 0261-5606 |
| DOI: | 10.1016/j.jimonfin.2018.05.007 |