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

Xin Sheng, Hardik A. Marfatia, Rangan Gupta and Qiang Ji

The North American Journal of Economics and Finance, 2021, vol. 56, issue C

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.

Keywords: Bayesian dynamic factor model; Housing market synchronization; Local projection method; Structural oil shocks (search for similar items in EconPapers)
JEL-codes: C22 C32 E32 Q02 R30 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940821000127
Full text for ScienceDirect subscribers only

Related works:
Working Paper: House Price Synchronization across the US States: The Role of Structural Oil Shocks (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000127

DOI: 10.1016/j.najef.2021.101372

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().