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

Nikolaos Antonakakis; Rangan Gupta; John W. Muteba Mwamba

doi:10.1007/s11293-016-9508-4

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

Nikolaos Antonakakis, Rangan Gupta, John W. Muteba Mwamba

School of Economics

Research output: Contribution to journal › Article › peer-review

26 Citations (Scopus)

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.

Original language	English
Pages (from-to)	377-386
Number of pages	10
Journal	Atlantic Economic Journal
Volume	44
Issue number	3
DOIs	https://doi.org/10.1007/s11293-016-9508-4
Publication status	Published - 1 Sept 2016

Keywords

Dynamic comovements
Housing market
Oil market

ASJC Scopus subject areas

General Economics,Econometrics and Finance

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1007/s11293-016-9508-4

Cite this

@article{44fcd866534742dfbcab410deab642f1,

title = "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{\textquoteright}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.",

keywords = "Dynamic comovements, Housing market, Oil market",

author = "Nikolaos Antonakakis and Rangan Gupta and {Muteba Mwamba}, {John W.}",

note = "Publisher Copyright: {\textcopyright} 2016, The Author(s).",

year = "2016",

month = sep,

day = "1",

doi = "10.1007/s11293-016-9508-4",

language = "English",

volume = "44",

pages = "377--386",

journal = "Atlantic Economic Journal",

issn = "0197-4254",

publisher = "Springer Netherlands",

number = "3",

}

TY - JOUR

T1 - Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013

T2 - a Note

AU - Antonakakis, Nikolaos

AU - Gupta, Rangan

AU - Muteba Mwamba, John W.

PY - 2016/9/1

Y1 - 2016/9/1

N2 - 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.

AB - 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.

KW - Dynamic comovements

KW - Housing market

KW - Oil market

UR - http://www.scopus.com/inward/record.url?scp=84982163249&partnerID=8YFLogxK

U2 - 10.1007/s11293-016-9508-4

DO - 10.1007/s11293-016-9508-4

M3 - Article

AN - SCOPUS:84982163249

SN - 0197-4254

VL - 44

SP - 377

EP - 386

JO - Atlantic Economic Journal

JF - Atlantic Economic Journal

IS - 3

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

UN SDGs

Access to Document

Other files and links

Fingerprint

Cite this