Movements in real estate uncertainty in the United States : the role of oil shocks

Abstract

In this paper, we analyse the role played by disaggregated oil shocks in driving real estate uncertainty (REU) over the monthly period of 1975:02 to 2017:12, based on impulse response functions generated from the local projection method. We find that the oil-specific consumption demand shock is statistically the strongest predictor of higher future REU, followed by the significant negative impact from the aggregate supply shock, especially for long-run REU. While the oil inventory demand shock has a short-lived positive impact on REU, global economic activity shock virtually plays no role in driving the same. Our results have important implications for policymakers and investors.