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Do soaring global oil prices heat up the housing market? Evidence from Malaysia

Listed author(s):
  • Le, Thai-Ha

This study analyses the effects of oil price and macroeconomic shocks on the Malaysian housing market using a SVAR framework. The specification of the baseline model is based on standard economic theory. The Gregory-Hansen (GH) cointegration test reveals that there is no cointegration among the variables of interest. The results obtained from the Toda-Yamamoto (TY) non-Granger causality test show that oil price, labor force and inflation are the leading factors responsible for changes in the Malaysian housing prices. The findings from estimating generalized impulse response functions (IRFs) and variance decompositions (VDCs) indicate that oil price and labor force shocks are responsible for substantial fluctuations in the price of housing in Malaysia.

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File URL: http://dx.doi.org/10.5018/economics-ejournal.ja.2015-27
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File URL: https://www.econstor.eu/bitstream/10419/118619/1/834795930.pdf
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Article provided by Kiel Institute for the World Economy (IfW) in its journal Economics: The Open-Access, Open-Assessment E-Journal.

Volume (Year): 9 (2015)
Issue (Month): ()
Pages: 1-30

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Handle: RePEc:zbw:ifweej:201527
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  1. Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005. "Assessing High House Prices: Bubbles, Fundamentals and Misperceptions," Journal of Economic Perspectives, American Economic Association, vol. 19(4), pages 67-92, Fall.
  2. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  3. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 45-59, January.
  4. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
  5. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
  6. Hon-Chung Hui, 2013. "Housing price cycles and aggregate business cycles: stylised facts in the case of Malaysia," Journal of Developing Areas, Tennessee State University, College of Business, vol. 47(1), pages 149-169, January-J.
  7. Elbourne, Adam, 2008. "The UK housing market and the monetary policy transmission mechanism: An SVAR approach," Journal of Housing Economics, Elsevier, vol. 17(1), pages 65-87, March.
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