Nonlinear tail dependence between the housing and energy markets
Naoyuki Yoshino (),
Gazi Uddin and
Farhad Taghizadeh-Hesary ()
Energy Economics, 2022, vol. 106, issue C
This paper examines the quantile dependence between energy commodities (oil, coal, and natural gas) and the real housing returns of the nine US census divisions for the period 1991–2019. In contrast to the literature on the association between oil and housing markets, we contribute by studying the effect of additional commodities on the housing market returns. We use a cross-quantilogram and quantile regression approach and find regional variation in the impact of energy commodities on housing returns. The effect within the same region varies over the quantile distributions. In general, we observe that all energy commodities are negatively associated with real housing returns. Significant correlations are found more often when the oil and housing returns are in similar quantiles. Coal and natural gas show a stronger relationship with higher quantiles of housing returns. Further, the results for coal and natural gas remains relatively stable after controlling for macroeconomic variables.
Keywords: Housing market; Oil; Coal; Natural gas; Tail-dependence; Cross-quantilogram (search for similar items in EconPapers)
JEL-codes: C14 C46 R31 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006137
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