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Movements in Real Estate Uncertainty in the United States: The Role of Oil Shocks

Author

Listed:
  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

  • Xin Sheng

    (Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford, CM1 1SQ, United Kingdom)

  • Qiang Ji

    (Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China)

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

Suggested Citation

  • Rangan Gupta & Xin Sheng & Qiang Ji, 2020. "Movements in Real Estate Uncertainty in the United States: The Role of Oil Shocks," Working Papers 202035, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202035
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    Cited by:

    1. Sheng, Xin & Gupta, Rangan & Ji, Qiang, 2020. "The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries," Energy Economics, Elsevier, vol. 91(C).
    2. Sheng, Xin & Kim, Won Joong & Gupta, Rangan & Ji, Qiang, 2023. "The impacts of oil price volatility on financial stress: Is the COVID-19 period different?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 520-532.
    3. Gupta, Rangan & Sheng, Xin & van Eyden, Reneé & Wohar, Mark E., 2021. "The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence," Finance Research Letters, Elsevier, vol. 43(C).

    More about this item

    Keywords

    Oil shocks; real estate uncertainty; local projection model; impulse response functions;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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