Information transmission between oil and housing markets

Thi Thu Ha Nguyen, Muhammad Abubakr Naeem, Faruk Balli, Hatice Balli and Iqbal Syed ()

Energy Economics, 2021, vol. 95, issue C

Abstract: This paper investigates the equicorrelation and connectedness between oil and housing markets using the DECO-GARCH methodology and the connectedness index. We find a high degree of connectedness between these two markets. We also find that the magnitude of correlation and connectedness between these markets is more pronounced during extreme events, which is in line with the literature investigating connectedness in various other markets. Then, when we consider the net connectedness and pairwise connectedness, we find that the US housing market is the dominant net transmitter to the other housing markets. Furthermore, looking at the GFC period of 2007–2009, our paper sheds light on the role of the oil market as a mediator of information transmission arising from its ability to convey shocks from the US to the other OECD housing markets, especially with regard to oil-dependent OECD countries. The paper discusses important policy implications of the findings.

Keywords: Oil and housing markets; Dynamic connectedness; Equicorrelation; Financial crisis (search for similar items in EconPapers)
JEL-codes: F3 G1 Q4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000050

DOI: 10.1016/j.eneco.2021.105100

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