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Information transmission between oil and housing markets

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  • Nguyen, Thi Thu Ha
  • Naeem, Muhammad Abubakr
  • Balli, Faruk
  • Balli, Hatice Ozer
  • Syed, Iqbal

Abstract

This paper investigates the equicorrelation and connectedness between oil and housing markets using the DECO-GARCH methodology and the connectedness index. We find a high degree of connectedness between these two markets. We also find that the magnitude of correlation and connectedness between these markets is more pronounced during extreme events, which is in line with the literature investigating connectedness in various other markets. Then, when we consider the net connectedness and pairwise connectedness, we find that the US housing market is the dominant net transmitter to the other housing markets. Furthermore, looking at the GFC period of 2007–2009, our paper sheds light on the role of the oil market as a mediator of information transmission arising from its ability to convey shocks from the US to the other OECD housing markets, especially with regard to oil-dependent OECD countries. The paper discusses important policy implications of the findings.

Suggested Citation

  • Nguyen, Thi Thu Ha & Naeem, Muhammad Abubakr & Balli, Faruk & Balli, Hatice Ozer & Syed, Iqbal, 2021. "Information transmission between oil and housing markets," Energy Economics, Elsevier, vol. 95(C).
    • Handle: RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000050
    DOI: 10.1016/j.eneco.2021.105100
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    Cited by:

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    3. 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).

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    More about this item

    Keywords

    Oil and housing markets; Dynamic connectedness; Equicorrelation; Financial crisis;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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