EconPapers    
Economics at your fingertips  
 

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

Abstract: 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
Date: 2019-06
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201946

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2019-10-23
Handle: RePEc:pre:wpaper:201946