Title

House price synchronization across the US states: The role of structural oil shocks

Document Type

Article

Publication Date

4-1-2021

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.

DOI

10.1016/j.najef.2021.101372

Publication Title

North American Journal of Economics and Finance

Volume Number

56

ISSN

10629408

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