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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
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Working Paper: House Price Synchronization across the US States: The Role of Structural Oil Shocks (2020)
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DOI: 10.1016/j.najef.2021.101372

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