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
Qiang Ji: Institutes of Science and Development, Chinese Academy of Sciences, Beijing, China; School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing, China
No 202076, Working Papers from University of Pretoria, Department of Economics
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
New Economics Papers: this item is included in nep-ene, nep-mac and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202076
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