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Nonlinear tail dependence between the housing and energy markets

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  • Stenvall, David
  • Hedström, Axel
  • Yoshino, Naoyuki
  • Uddin, Gazi Salah
  • Taghizadeh-Hesary, Farhad

Abstract

This paper examines the quantile dependence between energy commodities (oil, coal, and natural gas) and the real housing returns of the nine US census divisions for the period 1991–2019. In contrast to the literature on the association between oil and housing markets, we contribute by studying the effect of additional commodities on the housing market returns. We use a cross-quantilogram and quantile regression approach and find regional variation in the impact of energy commodities on housing returns. The effect within the same region varies over the quantile distributions. In general, we observe that all energy commodities are negatively associated with real housing returns. Significant correlations are found more often when the oil and housing returns are in similar quantiles. Coal and natural gas show a stronger relationship with higher quantiles of housing returns. Further, the results for coal and natural gas remains relatively stable after controlling for macroeconomic variables.

Suggested Citation

  • Stenvall, David & Hedström, Axel & Yoshino, Naoyuki & Uddin, Gazi Salah & Taghizadeh-Hesary, Farhad, 2022. "Nonlinear tail dependence between the housing and energy markets," Energy Economics, Elsevier, vol. 106(C).
    • Handle: RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006137
    DOI: 10.1016/j.eneco.2021.105771
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    More about this item

    Keywords

    Housing market; Oil; Coal; Natural gas; Tail-dependence; Cross-quantilogram;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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