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

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Abstract

In this study we examine the dynamic comovements between housing and oil market returns in the United States (US) over the period 1859-2013, while controlling for real gross domestic product (GDP) 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 US recessions the US economy experienced in the 19th century, wherein correlations were positive.

Original language	English
Pages (from-to)	377-386
Journal	Atlantic Economic Journal
Volume	44
Issue number	3
Early online date	16 Aug 2016
DOIs	https://doi.org/10.1007/s11293-016-9508-4
Publication status	Published - Sept 2016

Keywords

Housing market
Oil market
Dynamic comovements

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10.1007/s11293-016-9508-4

ANTONAKAKIS_2016_cright_AEJ_Dynamic comovements between housing and oil markets in the US over 1859 to 2013
This is an Accepted Manuscript of an article published in Atlantic Economic Journal. The final publication is available at Springer via http://link.springer.com/10.1007/s11293-016-9508-4.
Accepted author manuscript (Post-print), 289 KB

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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 (US) over the period 1859-2013, while controlling for real gross domestic product (GDP) 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 US recessions the US economy experienced in the 19th century, wherein correlations were positive.",

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

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N1 - EMBARGO 12 MTHS This is an Accepted Manuscript of an article published in Atlantic Economic Journal. The final publication is available at Springer via http://link.springer.com/10.1007/s11293-016-9508-4

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N2 - In this study we examine the dynamic comovements between housing and oil market returns in the United States (US) over the period 1859-2013, while controlling for real gross domestic product (GDP) 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 US recessions the US economy experienced in the 19th century, wherein correlations were positive.

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Dynamic comovements between housing and oil markets in the US over 1859 to 2013: a note

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Keywords

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