How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch
Afees Salisu () and
Rangan Gupta ()
No 201946, Working Papers from University of Pretoria, Department of Economics
In this study, we utilize the recent oil shock data of Baumeister and Hamilton (2019) to analyze how housing returns in China, India and Russia respond to different oil shocks. Given the available data for the relevant variables, the MIDAS approach which helps circumvent aggregation problem in the estimation process is employed. We also extend the MIDAS framework to account for nonlinearities in the model. Expectedly, the housing returns of the countries considered respond differently to the variants of oil shocks. More specifically, we find that the housing returns of India and China which are net oil-importing countries do not seem to possess oil risk hedging characteristics albeit with the converse for Russia which is a major net oil-exporter. We also find that modeling with the MIDAS framework offers better predictability than other variants with uniform frequency.
Keywords: Housing return; Oil shock; MIDAS regression; Nonlinearities; Forecasting (search for similar items in EconPapers)
JEL-codes: C12 C22 Q41 Q47 R12 R31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-ene, nep-rmg, nep-sea and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201946
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