Movements in Real Estate Uncertainty in the United States: The Role of Oil Shocks

Rangan Gupta, Xin Sheng and Qiang Ji
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Xin Sheng: Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, CM1 1SQ, United Kingdom
Qiang Ji: Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China

No 202035, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we analyse the role played by disaggregated oil shocks in driving real estate uncertainty (REU) over the monthly period of 1975:02 to 2017:12, based on impulse response functions generated from the local projection method. We find that the oil-specific consumption demand shock is statistically the strongest predictor of higher future REU, followed by the significant negative impact from the aggregate supply shock especially for long-run REU. While the oil inventory demand shock has a short-lived positive impact on REU, global economic activity shock virtually play no role in driving the same. Our results have important implications for policymakers and investors.

Keywords: Oil shocks; real estate uncertainty; local projection model; impulse response functions (search for similar items in EconPapers)
JEL-codes: C22 Q41 R30 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2020-05
New Economics Papers: this item is included in nep-ene, nep-his and nep-ure
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Citations: View citations in EconPapers (3)

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Journal Article: Movements in real estate uncertainty in the United States: the role of oil shocks (2021)
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