dc.contributor.author |
Sheng, Xin
|
|
dc.contributor.author |
Marfatia, Hardik A.
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Ji, Qiang
|
|
dc.date.accessioned |
2022-07-07T08:40:39Z |
|
dc.date.available |
2022-07-07T08:40:39Z |
|
dc.date.issued |
2021-04 |
|
dc.description.abstract |
This paper analyzes the impact of disentangled oil shocks on the synchronization in housing price movements across all the US states plus DC. Using a Bayesian dynamic factor model, the house price movements are decomposed into national, regional, and state-specific factors. We then study the impact of oil-specific supply and demand, inventory accumulation, and global demand shocks on the national factor using linear and nonlinear local projection methods. The impulse response analyses suggest that oil-specific supply and consumption demand shocks are most important in driving the national factor. Moreover, as observed from the regime-specific local projection model, these two shocks are found to have a relatively stronger impact in a bearish rather than a bullish national housing market. Our results have important policy implications. |
en_US |
dc.description.department |
Economics |
en_US |
dc.description.librarian |
hj2022 |
en_US |
dc.description.sponsorship |
The National Natural Science Foundation of China and the Youth Innovation Promotion Association of Chinese Academy of Sciences. |
en_US |
dc.description.uri |
https://www.elsevier.com/locate/najef |
en_US |
dc.identifier.citation |
Sheng, X., Marfatia, H.A., Gupta, R. et al. 2021. 'House price synchronization across the US states : the role of structural oil shocks', The North American Journal of Economics and Finance, vol. 56, art. 101372, pp. 1-10, doi : 10.1016/j.najef.2021.101372. |
en_US |
dc.identifier.issn |
1062-9408 (print) |
|
dc.identifier.issn |
1879-0860 (online) |
|
dc.identifier.other |
10.1016/j.najef.2021.101372 |
|
dc.identifier.uri |
https://repository.up.ac.za/handle/2263/86061 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
Elsevier |
en_US |
dc.rights |
© 2021 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was summited for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 56, art. 101372, pp. 1-10, 2021. doi : 10.1016/j.najef.2021.101372. |
en_US |
dc.subject |
Bayesian dynamic factor model |
en_US |
dc.subject |
Housing market synchronization |
en_US |
dc.subject |
Local projection method |
en_US |
dc.subject |
Structural oil shocks |
en_US |
dc.subject |
United States (US) |
en_US |
dc.title |
House price synchronization across the US states : the role of structural oil shocks |
en_US |
dc.type |
Preprint Article |
en_US |