Movements in real estate uncertainty in the United States: the role of oil shocks

Rangan Gupta, Xin Sheng and Qiang Ji

Applied Economics Letters, 2021, vol. 28, issue 13, 1059-1065

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 plays no role in driving the same. Our results have important implications for policymakers and investors.

Date: 2021
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Working Paper: Movements in Real Estate Uncertainty in the United States: The Role of Oil Shocks (2020)
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DOI: 10.1080/13504851.2020.1796911

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