Movements in real estate uncertainty in the United States : the role of oil shocks
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Date
Authors
Gupta, Rangan
Sheng, Xin
Ji, Qiang
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge
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.
Description
Keywords
Real estate uncertainty (REU), Oil shocks, Local projection model, Impulse response functions
Sustainable Development Goals
Citation
Gupta, R., Sheng, X. & Ji, Q. 2021, 'Movements in real estate uncertainty in the United States : the role of oil shocks', Applied Economics Letters, vol. 28, no. 13, pp. 1059-1065, doi: 10.1080/13504851.2020.1796911.