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How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch

Author

Listed:
  • Afees A. Salisu

    () (Department for Management of Science and Technology Development, Ton Duc Thang University, Ho Chi Minh City, Vietnam and Faculty of Business Administration, Ton Duc Thang University, Ho Chi Minh City, Vietnam)

  • Rangan Gupta

    () (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

In this study, we utilize the recent oil shock data of Baumeister and Hamilton (2019) to analyze how housing returns in China, India and Russia respond to different oil shocks. Given the available data for the relevant variables, the MIDAS approach which helps circumvent aggregation problem in the estimation process is employed. We also extend the MIDAS framework to account for nonlinearities in the model. Expectedly, the housing returns of the countries considered respond differently to the variants of oil shocks. More specifically, we find that the housing returns of India and China which are net oil-importing countries do not seem to possess oil risk hedging characteristics albeit with the converse for Russia which is a major net oil-exporter. We also find that modeling with the MIDAS framework offers better predictability than other variants with uniform frequency.

Suggested Citation

  • Afees A. Salisu & Rangan Gupta, 2019. "How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch," Working Papers 201946, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201946
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Housing return; Oil shock; MIDAS regression; Nonlinearities; Forecasting;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
    • 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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