The impact of disaggregated oil shocks on state-level real housing returns of the United States : the role of oil dependence
Loading...
Date
Authors
Gupta, Rangan
Sheng, Xin
Van Eyden, Renee
Wohar, Mark E.
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
We analyse the impact of oil supply, global economic activity, oil-specific consumption demand and oil inventory demand shocks on state-level real housing returns of the United States (US) over the monthly period of 1975:02 to 2019:12. We find that positive economic activity shocks and oil production shocks (associated with increase and decrease in oil prices respectively) increase real housing returns. At the same time, oil-specific consumption and inventory demand shocks raise oil prices and reduce the state-level real housing returns. Moreover, across the shocks, the strongest effect originates from the global demand shock. In addition, the degree of oil dependency (oil consumed minus oil produced as a ratio of oil consumed) does not change the nature of the impact of the four oil shocks on real housing returns drastically, but the size of the effects is relatively muted under low-oil dependence, barring the case of the oil inventory demand shock. Our results have important policy implications.
Description
Keywords
Oil shocks, State-level real housing returns, Oil dependency, Local projection model, Impulse response functions
Sustainable Development Goals
Citation
Gupta, R., Sheng, X., Van Eyden, R. et al. 2021, 'The impact of disaggregated oil shocks on state-level real housing returns of the United States : the role of oil dependence', Finance Research Letters, vol. 43, art. 102029, pp. 1-7, doi 10.1016/j.frl.2021.102029.