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House price synchronization across the US states: The role of structural oil shocks
journal contribution
posted on 2023-07-26, 15:20 authored by Xin Sheng, Hardik A. Marfatia, Rangan Gupta, Qiang JiThis 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.
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Refereed
- Yes
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56Page range
101372Publication title
North American Journal of Economics and FinanceISSN
1879-0860External DOI
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ElsevierLanguage
- other
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2021-04-12Legacy creation date
2021-04-06Legacy Faculty/School/Department
Faculty of Business & LawUsage metrics
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