Current account dynamics and the housing cycle in Spain

• Verfasst von: Maas, Daniel Peter [VerfasserIn]
• Verfasst von: Mayer, Eric [VerfasserIn]
• Verfasst von: Rüth, Sebastian [VerfasserIn]
• Titel: Current account dynamics and the housing cycle in Spain
• Verf.angabe: Daniel Maas, Eric Mayer, Sebastian K. Rüth
• E-Jahr: 2018
• Jahr: 30 May 2018
• Umfang: 22 S.
• Teil: volume:87
• Teil: year:2018
• Teil: pages:22-43
• Teil: extent:22
• Fussnoten: Gesehen am 01.03.2021
• Titel Quelle: Enthalten in: Journal of international money and finance
• Ort Quelle: Amsterdam [u.a.] : Elsevier Science, 1982
• Jahr Quelle: 2018
• Band/Heft Quelle: 87(2018), Seite 22-43
• ISSN Quelle: 0261-5606
• DOI: doi:10.1016/j.jimonfin.2018.05.007
• Datenträger: Online-Ressource
• Sprache: eng
• Sach-SW: Current account
• Sach-SW: Housing markets
• Sach-SW: Monetary union
• K10plus-PPN: 1750009579

Abstract

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.