The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence

Gupta, Rangan and Sheng, Xin and van Eyden, Reneé and Wohar, Mark E. (2021) The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence. Finance Research Letters, 43. p. 102029. ISSN 1544-6123

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Official URL: http://dx.doi.org/10.1016/j.frl.2021.102029

Abstract

We analyse the impact of oil supply, global economic activity, oil-specific consumption demand and oil inventory demand shocks on state-level real housing returns of the United States (US) over the monthly period of 1975:02 to 2019:12. We find that positive economic activity shocks and oil production shocks (associated with increase and decrease in oil prices respectively) increase real housing returns. At the same time, oil-specific consumption and inventory demand shocks raise oil prices and reduce the state-level real housing returns. Moreover, across the shocks, the strongest effect originates from the global demand shock. In addition, the degree of oil dependency (oil consumed minus oil produced as a ratio of oil consumed) does not change the nature of the impact of the four oil shocks on real housing returns drastically, but the size of the effects is relatively muted under low-oil dependence, barring the case of the oil inventory demand shock. Our results have important policy implications.

Item Type: Journal Article
Keywords: Oil shocks, State-level real housing returns, Oil dependency, Local projection model, Impulse response functions, Monetary policy, Price shocks, US, Causality, Market, Inflation, Responses, Demand, Output
Faculty: Faculty of Business & Law
SWORD Depositor: Symplectic User
Depositing User: Symplectic User
Date Deposited: 10 Mar 2022 10:48
Last Modified: 31 May 2022 16:18
URI: https://arro.anglia.ac.uk/id/eprint/707391

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