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 languageEnglish
Pages (from-to)377-386
JournalAtlantic Economic Journal
Volume44
Issue number3
Early online date16 Aug 2016
DOIs
Publication statusPublished - Sep 2016

Keywords

  • Housing market
  • Oil market
  • Dynamic comovements

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