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House Price Synchronization across the US States: The Role of Structural Oil Shocks

Xin Sheng (), Hardik Marfatia (), Rangan Gupta () and Qiang Ji ()
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Xin Sheng: Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, CM1 1SQ, United Kingdom
Hardik Marfatia: Department of Economics, Northeastern Illinois University, 5500 N St Louis Ave, BBH 344G, Chicago, IL 60625, USA

No 202076, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper analyzes the impact of disentangled oil shocks on the synchronization in housing price movements across all the US states plus DC. Using a Bayesian dynamic factor model, the house price movements are decomposed into national, regional, and state-specific factors. We then study the impact of oil-specific supply and demand, inventory accumulation, and global demand shocks on the national factor using linear and nonlinear local projection methods. The impulse response analyses suggest that oil-specific supply and consumption demand shocks are most important in driving the national factor. Moreover, as observed from the regime-specific local projection model, these two shocks are found to have a relatively stronger impact in a bearish rather than a bullish national housing market. Our results have important policy implications.

Keywords: Bayesian dynamic factor model; Housing market synchronization; Local projection method; Structural oil shocks (search for similar items in EconPapers)
JEL-codes: C22 C32 E32 Q02 R30 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2020-08
New Economics Papers: this item is included in nep-ene, nep-mac and nep-ure
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