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

Gupta, Rangan and Sheng, Xin and Ji, Qiang (2021) Movements in real estate uncertainty in the United States: the role of oil shocks. Applied Economics Letters, 28 (13). pp. 1059-1065. ISSN 1466-4291

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Official URL: http://dx.doi.org/10.1080/13504851.2020.1796911

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.

Item Type: Journal Article
Keywords: Oil shocks, Real estate uncertainty, Local projection model, Impulse response functions, Price shocks, Policy uncertainty, US, Markets, Demand
Faculty: Faculty of Business & Law
SWORD Depositor: Symplectic User
Depositing User: Symplectic User
Date Deposited: 14 Aug 2020 08:48
Last Modified: 21 Jan 2022 02:02
URI: https://arro.anglia.ac.uk/id/eprint/705746

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