Killins, Robert N. and Egly, Peter V. and Escobari, Diego (2017): The Impact of Oil Shocks on the Housing Market: Evidence from Canada and U.S. Forthcoming in:
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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.
Item Type: | MPRA Paper |
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Original Title: | The Impact of Oil Shocks on the Housing Market: Evidence from Canada and U.S. |
Language: | English |
Keywords: | Oil prices, housing markets, structural vector autoregression |
Subjects: | F - International Economics > F3 - International Finance > F30 - General G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
Item ID: | 80529 |
Depositing User: | Diego Escobari |
Date Deposited: | 02 Aug 2017 09:39 |
Last Modified: | 28 Sep 2019 15:44 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/80529 |