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

Rangan Gupta, Xin Sheng, Renee van Eyden () and Mark Wohar

Finance Research Letters, 2021, vol. 43, issue C

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.

Keywords: Oil shocks; State-level real housing returns; Oil dependency; Local projection model; Impulse response functions (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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Working Paper: The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001100

DOI: 10.1016/j.frl.2021.102029

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