Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013: a Note

Abstract

In this study, we examine the dynamic comovements between housing and oil market returns in the United States over the period 1859-2013, while controlling for real gross domestic product growth, inflation, interest rates, and real stock, gold and silver returns that are known to affect both these markets. As such, we provide a bird's-eye view on the interdependencies between these two markets from a historical perspective. The results of our empirical analysis reveal that comovements between housing and oil market returns are consistently negative over time, apart from several recessions the U.S. economy experienced in the 19th century, wherein correlations were positive.

The impact of oil shocks on the housing market: Evidence from Canada and U.S

“…Recently, some attention has focused on the impact of energy prices on real estate markets. Antonakakis, et al (2016) reveal that comovements between U.S. housing and oil market returns are consistently negative over time. Breitenfellner, et al (2015) examine 18 OCED economies and suggest that increases in energy price inflation raise the probability of housing price corrections.…”

“…The main advantage of our SVAR approach over previous work (e.g., Chan et al, 2011;Antonakakis et al, 2016;Breitenfellner et al, 2015;Khiabani, 2015) is that the identification structure allows us to assess the impact of higher crude oil prices differentiating the demand and supply shocks, along with the relative importance of these shocks over time. In addition, previous studies treat oil as exogenous with respect to the real estate market.…”

“…Antonakakis et al, 2016;Breitenfellner et al, 2015;and Khiabani, 2015). The current literature generally suggests that increases in oil prices negatively impact the real estate market.…”

Tornado activity, house prices, and stock returns

“…The vacancy rate is an indicator of supply-demand imbalances (Caplin & Leahy, 2011). Oil price is a variable proxying for construction and building costs (Breitenfellner, Cuaresma, & Mayer, 2015;Antonakakis, Gupta, & Mwamba, 2016). In addition, the oil price dynamics is to a large extent determined by international exogenous factors.…”

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

“…Given this, there exist a large number of studies, primarily dealing with advanced economies, that have aimed to predict housing market movements based on a wide-variety of models and predictors (see, Rahal 2015;Kishor and Marfatia 2018;;Hassani, Yaganegi, and Gupta 2019; for detailed reviews). In this regard, a burgeoning literature has started to analyze the impact of oil prices and shocks on house (real estate) price movements (see for example, Agnello et al 2017;Antonakakis, Gupta, and Muteba Mwamba 2016;Aye, Clance, and Gupta 2019;Breitenfellner, Cuaresma, and Mayer 2015;Chan et al 2011;Khiabani 2015; Kilian and Zhou 2018;Killins, Egly, and Escobari 2017;Nazlioglu, Gormus, and Soytas 2016). 1 These studies highlight at least six channels underlying the relationship between house and oil (energy) prices.…”