House price synchronization across the US states: The role of structural oil shocks

Sheng, Xin and Marfatia, Hardik A. and Gupta, Rangan and Ji, Qiang (2021) House price synchronization across the US states: The role of structural oil shocks. North American Journal of Economics and Finance, 56. p. 101372. ISSN 1879-0860

Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.najef.2021.101372

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.

Item Type: Journal Article
Keywords: Social Sciences, Business, Finance, Economics, Business & Economics, Bayesian dynamic factor model, Housing market synchronization, Local projection method, Structural oil shocks
Faculty: Faculty of Business & Law
SWORD Depositor: Symplectic User
Depositing User: Symplectic User
Date Deposited: 12 Apr 2021 14:04
Last Modified: 09 Sep 2021 16:04
URI: https://arro.anglia.ac.uk/id/eprint/706469

Actions (login required)

Edit Item Edit Item