We assess the spillovers from the oil sector to the housing market cycle using quarterly data for 20 net oil-exporting and -importing industrial countries, and employing continuous- and discrete-time duration models. We do not uncover a statistically significant difference in the average duration of booms and normal times in the housing markets of those net oil-importers and net oil-exporters. Similarly, the degree of exposure to commodity price fluctuations does not seem to significantly affect the housing market cycle. However, we find that housing booms are shorter when oil prices increase than housing busts when oil prices decrease. We also show that the net oil-importers are more vulnerable to protracted housing slump episodes than the net-oil exporters.

Agnello, L., Castro, V., Hammoudeh, S., & Sousa, R. (2017). Spillovers from the oil sector to the housing market cycle. ENERGY ECONOMICS, 61, 209-220 [10.1016/j.eneco.2016.11.004].

Spillovers from the oil sector to the housing market cycle

AGNELLO, Luca;
2017

Abstract

We assess the spillovers from the oil sector to the housing market cycle using quarterly data for 20 net oil-exporting and -importing industrial countries, and employing continuous- and discrete-time duration models. We do not uncover a statistically significant difference in the average duration of booms and normal times in the housing markets of those net oil-importers and net oil-exporters. Similarly, the degree of exposure to commodity price fluctuations does not seem to significantly affect the housing market cycle. However, we find that housing booms are shorter when oil prices increase than housing busts when oil prices decrease. We also show that the net oil-importers are more vulnerable to protracted housing slump episodes than the net-oil exporters.
Agnello, L., Castro, V., Hammoudeh, S., & Sousa, R. (2017). Spillovers from the oil sector to the housing market cycle. ENERGY ECONOMICS, 61, 209-220 [10.1016/j.eneco.2016.11.004].
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10447/226738
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