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The Impact of Oil Shocks on the Housing Market: Evidence from Canada and U.S

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  • Killins, Robert N.
  • Egly, Peter V.
  • Escobari, Diego

Abstract

The recent volatility in oil energy markets invites us to re-assess the impact of oil prices changes on the macroeconomic environment. The Great Recession of 2007-2009 led to closer monitoring of global housing markets by regulators and market participants. Employing a structural vector autoregressive model, we find that the reaction of housing markets to oil price shocks varies significantly depending on whether the change in oil prices is prompted by demand or supply shocks in the oil market and on country oil trading status (i.e. net importer or net exporter). Our results are robust to the inclusion of different macroeconomic channels through which oil shocks may influence housing prices and control for restricted dynamic feedback effects. We also study the role of the phases of the housing cycle.

Suggested Citation

  • Killins, Robert N. & Egly, Peter V. & Escobari, Diego, 2017. "The Impact of Oil Shocks on the Housing Market: Evidence from Canada and U.S," MPRA Paper 80529, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:80529
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    Cited by:

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    2. Bonato, Matteo & Çepni, Oğuzhan & Gupta, Rangan & Pierdzioch, Christian, 2021. "Do oil-price shocks predict the realized variance of U.S. REITs?," Energy Economics, Elsevier, vol. 104(C).
    3. Sheng, Xin & Marfatia, Hardik A. & Gupta, Rangan & Ji, Qiang, 2021. "House price synchronization across the US states: The role of structural oil shocks," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    4. Nazlioglu, Saban & Gupta, Rangan & Gormus, Alper & Soytas, Ugur, 2020. "Price and volatility linkages between international REITs and oil markets," Energy Economics, Elsevier, vol. 88(C).
    5. Mensi, Walid & Nekhili, Ramzi & Kang, Sang Hoon, 2022. "Quantile connectedness and spillovers analysis between oil and international REIT markets," Finance Research Letters, Elsevier, vol. 48(C).
    6. 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).
    7. Afees A. Salisu & Rangan Gupta, 2021. "How Do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(15), pages 4286-4311, December.
    8. Natalia S. Nikitina, 2022. "Forecasting the Real Estate Price Index in Russia [Прогнозирование Индекса Цен На Недвижимость В России]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 6, pages 23-28, June.
    9. Natalia S. Nikitina, 2022. "Прогнозирование Индекса Цен На Недвижимость В России," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 6, pages 23-28, June.
    10. 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).
    11. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).

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    More about this item

    Keywords

    Oil prices; housing markets; structural vector autoregression;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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