House price synchronization across the US states: The role of structural oil shocks |
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| Institution: | 1. Lord Ashcroft International Business School, Anglia Ruskin University, Chelmsford CM1 1SQ, United Kingdom;2. Department of Economics, Northeastern Illinois University, 5500 N St Louis Ave, BBH 344G, Chicago, IL 60625, USA;3. Department of Economics, University of Pretoria, Pretoria 0002, South Africa;4. Institutes of Science and Development, Chinese Academy of Sciences, Beijing, China;5. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing, China;1. School of Business, Hunan Normal University, Changsha, 36 Lushan Road, Yuelu District, Changsha, Hunan, PR China;2. The School of Economics, Xiamen University, Xiamen, Economics Building, Xiamen University, Xiamen, Fujian, PR China;3. Guangdong University of Foreign Studies, Guangzhou, Xiaoguwei, Panyu District, Guangzhou, PR China |
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| 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. |
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| Keywords: | Bayesian dynamic factor model Housing market synchronization Local projection method Structural oil shocks |
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